I think I can answer your question. Not all pensions that were filed are indexed at MDAH. I know of at least one from Jones Co. who should have a pension on file somewhere but they don't have it at MDAH. It had to have been in a Jones County courthouse at some point. I have never actually been to Jones County to check but I had a friend ask about the Confederate pension applications once a couple years ago and they had no idea what he was talking about. They are probably there, stuck in some corner, rotting away.
The reason that not all applications are on file in Jackson is that the chancery clerk was required to send copies of each application to the state auditor's office. The applications at MDAH are the state auditor copies, the duplicates. Of course, they either didn't all get sent or some have been lost at some point. This is why I believe it is so important to preserve pension records in courthouses even though much of it is in Jackson.
If you want to be sure, they have the pension rolls at MDAH as well. The pension rolls list EVERY person who received a Confederate pension in each county for a given year. Some years are missing, especially pre-1910, but if you know the dates your ancestor lived in Jones County, you can contact MDAH and see if they will search the rolls for the years that she lived there (they are listed under Series 354). I'm not 100% sure they will do it, but if you narrow the dates down and are as specific as possible I don't see why they wouldn't and I'm sure they could do that in an hour. (Of course, I've been disappointed with my research requests lately so I could be wrong.)
There are errors here and there in the pension rolls but for the most part they are accurate. However, even if they do find her name in the pension rolls, don't expect to find an application anywhere, although you'll at least know it existed at one point.
Hopefully, all that makes sense. If you need more help, just let me know.