Stuck on where to look

[Pinefamily]

I'm a bit baffled with this one.
My 4x great grandfather, John Palmer, died 1797/98. His will was not proved until 1807.
In the Dorset land tax records he is listed at Lyme Regis until 1797; 1798 at the same address is "Widow" Palmer. His brother in witness to the will's veracity stated John was "formerly of Coleman Street London but late of Lyme Regis".
I have checked St Stephen Coleman Street, Lyme Regis, Combe Raleigh (where three generations of Palmer's had been vicars), Colyton (where another brother was living), and Combpyne (where his wife was later buried for some unknown reason). There is no sign of his burial.
I don't know where else to look. Can anyone pleaseoffer a suggestion?