I am not likely to find a baptism record for him - Baptist churches (the Caffyn family had a strong Baptist tendency) did tend to record their congregations new arrivals but I have all the surviving records for Sussex and James is not included.
So identifying his parents is not straightforward but I have the will of a Jacob Caffyn "of West Grinstead in the County of Sussex farmer" dated 1799, he is married to Elizabeth and lists his children as Jacob, Thomas, Elizabeth, Sarah, Matthew, James and Jane. He also mentions his son in law Benjamin Browne of Cowfold. He does not specify his daughters surnames which suggests they are not married but the reference to his son in law contradicts this.
A search of marriages finds that Benjamin Browne of Cowfold married Elizabeth Caffyn on the 26th May 1787 in West Grinstead.
Returning to the will of Richard Caffyn (written 1810) I found that in addition to a bequest to his cousin James Caffyn of Rusper he also left a bequest "to my cousin Elizabeth Brown wife of Benjamin Brown of Cowfold". So we now know that Elizabeth Brown nee Caffyn is another cousin of Richard Caffyn. She could also be a sister of James Caffyn.
I checked the will of Richard Caffyn for the other daughters of Jacob Caffyn; Jane Caffyn is referred to as "Jane Terroll wife of Joseph Terroll of Cowfold" - Jane Caffyn married Joseph Terrell on the 28th May 1799 at the age of 21 years. Sarah Caffyn is "my cousin Sarah Wells wife of William Wells of Slaugham" - Sarah Caffyn married William Wells on the 23rd October 1786 in Slaugham. There is also reference to cousins Matthew Caffyn of West Grinstead and Jacob Caffyn of West Grinstead.
I believe therefore that James Caffyn was born c1772 to Jacob and Elizabeth Caffyn of West Grinstead and his siblings include Thomas, Jacob, Elizabeth, Sarah, Matthew and Jane.
Sources
Will of Richard Caffyn of Goudhurst, Kent - written 1810, proved 1820
Sussex Marriage Index
Will of Jacob Caffyn of West Grinstead - written 1799, proved 1801
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