Found It!

Not an urban myth then.
I had an early meeting this morning in Falmouth Cemetery of all places, whilst there I met a gentleman from the ‘Friends of Falmouth Cemetery’ who was a mine of information. When I asked if it was true that there was a U.S Confederate General buried in Falmouth Cemetery he said; “no, I’ve heard that story as well”, as a look of obvious disappointment crossed my face he added, with a grin, “we do have a Confederate Colonel though” and walked me to the grave. 
Along with another CWGC volunteer I had a few other things to do in the cemetery but once home I looked him up.

“American (Confederate) Civil War Colonel. Born in Richmond, Virginia, to Miles Cary and Harriet (nee Staples), he began his adult life as an attorney and as an adjutant (from 1856, Lieutenant Colonel) in the 1st. Regiment of Virginia Volunteers, In 1859, he resigned to organise F Company, a volunteer militia company of light infantry. On the 21st. April 1861, nine days after the bombardment of Fort Sumter, he enlisted as a captain in the 12th. Virginia Infantry. On June 15th, that year, he was promoted to the rank of Colonel in the 30th. Virginia Regiment, in command of Camp Mercer near Fredericksburg. The following year, he was ordered to the Belona Arsenal to supervise the making of cannon. In 1865, he was ordered to Goldsboro in North Carolina, and surrendered along with the army of General Joseph Johnston. After the war, he set up in business as a merchant of cotton and tobacco and emigrated to England, where he met and married a girl called Lucy, with whom he is buried. For many years, he had suffered from albuminuria, and it was this which brought about his death, which occurred in Woodfield in the village of Budock, just West of Falmouth.”

Every Day Is A School Day