Okay, so no record was found in the City of Buffalo for my grandparents marriage abt 1939. I assumed it must have been in Buffalo since that's where they had lived their entire lives. But apparently not. We'll see if my aunt can get a copy of their marriage certificate from NY State. In the meanwhile, I'll email and write the town clerks around Buffalo to see if any others can track down a marriage certificate for me.
At least "no record found" is official (certified, with a raised seal). Perhaps the Detroit consulate will be okay with this. It's better than nothing I suppose.
Update 12 Mar 2012
Other cities and towns who have checked their records:
Depew – NO
Lackawanna – NO
Hamburg – NO