I can't say if your kin was there but, Gratiot Street Prison in St.Louis might be where he was held. It was founded in Dec.of 1861. Though I can't find records before 1863.
http://www.civilwarstlouis.com/gratiot/gratiot.htm
You might check Alton Prison in Ill. it was used as Gratiot Street became crowded. Both held civilians as well as military prisoners.Good Luck!