Anecdote as originally given
It turns out that the anecdote is from a letter to Rippon at the Annual Register by J T (Joshua Thomas or most likely John Tommas)
The late venerable Mr Beddome, of Bourton on the Water, in Gloucestershire, in a conversation I had with him, some years ago, informed me, that journeying from Bourton to Devizes, in his way, he stopped at an inn at Wotton-Basset, a small borough town in Wiltshire, where he was quite a stranger, to take some refreshment. The person who kept the house, a widow woman, from his appearance, supposed him to be a clergyman of the Church of England, and was willing to do him a pleasure: therefore, after serving him herself with what he called for in a very obliging manner, said to him, "Sir, the inhabitants of this place are a very happy people," "I am glad," replied Mr Beddome, "you are so." " Yes," added the widow, "we do I assure you, Sir, think ourselves some of the most happy people in the world." "For what reason, Madam ?" said Mr B. "Why, Sir," answered his hostess, "we have but one Dissenter in the town, and he is a Roman Catholic; and you know, Sir, they are the best of them! The good man, not willing to confound her, pleasantly passed off the matter, without making himself known.
(Wootton Basset was on a coach route and boasted several inns in Beddome's day)