So you have searched for your ancestor in every possible record and came up dry. Have you considered the possibility that the name you believe to be their real name is actually a nickname? Or perhaps the possibility that the reason you are not finding a record under their real name was that a nickname was used in that particular record?
In the past, it was not uncommon for families to name children after other family members. It is not unlikely that you will find a grandfather, father and son sharing the same name. Nicknames were a way of differentiating between family members.
Some Nickname Lists to Try
Female Nicknames from Family Tree Magazine
18th-19th Century Nicknames
CensusDiggins Nickname List
Common Ancestor Nicknames
18th Century PA German Nicknames (also gives Anglicized version of German names)
Common Spanish Nicknames (also gives Anglicized version of Spanish names)
Names and Nicknames