Where have you checked for a baptism for him. Look at parishes especially in the Bovey Tracey area where the surname Pain or spelling variations appear around the time he was born.
You could also look for possible Pain/Payne marriages up to 20 years or so before the date he was born and check the parishes the marriage took place in for a baptism.
You might have already done this.
Other alternative is that he might not have been born in Devon so I suggest you look at all clusters of the surname in Devon and other Counties, also look for alternative records for the surname.
Have you check to see if there is a Headstone on his grave, it might mention other family members.