Sarah's parents were Job Denning and Mary E. [maiden name unknown]. Proving Job's birth place and date is another challenge. His gravestone only says he died in 1836, aged 61, which implies a birth year of 1775. It's probable that Job Denning was from way back east--possibly Massachusetts--but so far, I have no hard evidence.
Sarah had at least 7 older siblings but just 1 younger brother. She told the US Census (in 1850, 1860, 1870, and 1880) that she was born in Ohio. Possibly she was born in Adams County, Ohio, where her younger brother William Henry Harrison* Denning was born. Records are scarce for the early 1800s, haven't found her yet.
Sarah and her husband Benjamin were married in Ohio, according to their obits, and their two elder children were born in Ohio. Their other children were born in Indiana (according to Census data), beginning with third child Martha Jane McClure (1841-1916).
In the 1840 Census, Sarah and Benjamin were living in Harrison township, Fayette county, Indiana, with a total of "3 white persons under 20" years old. Most intriguing, they were living on a land division "allotted to Benjamin Caldwell." In other words, land allotted to Benjamin's brother-in-law's family, since his sister Jane McClure married Train Caldwell. Within four years, they were living about 100 miles northwest, in Noble township, Wabash county, Indiana.
Sarah, I'm on the lookout for more info about your origins!
*Yes, the family seems to taken inspiration for some given names from U.S. presidents. Benjamin McClure and his wife Sarah named one of their sons William Madison McClure, possibly honoring James Madison.