I would say that what is on the pension application makes perfect sense. It appears your relative was captured at the battle of Nashville in December 1864, then sent to prison at Camp Chase, Ohio. Per his military records, he was transferred to Point Lookout, MD in February 1865 in preparation for exchange. But it appears events took over and he was not "exchanged" until after the surrenders.
After the Nashville battle, the remnants of the 31st TN accompanied Hood's army back to Mississippi. The unit history (in Tennesseans in the Civil War, Vol 1) stated the survivors were given a brief furlough to visit their homes in West Tennessee, with few men making it back to accompany the regiment when it moved to reinforce Joe Johnson in the Carolinas. Per the history: In the final reorganization of Johnston's Army, 21 men from the 31st remained to form Company "G" of the 3rd Consolidated Tennessee Infantry Regiment, commanded by Colonel James D. Tiliman, and composed of the 4th/ 5th/19th/24th/31st/33rd/35th/38th/41st Tennessee Infantry Regiments. As part of this regiment they were paroled at Greensboro, North Carolina May 1, 1865.
So we know that what remained of the 31st was at Greensboro, NC after Johnson's surrender. Greensboro was on the Piedmont Railroad, so supplies were easier to obtain (remember General Lee was trying to reach this railroad for supplies after retreating from Petersburg). The major Union base in the area was at Goldsboro, NC. It was likely your relative was shipped from Point Lookout via water to New Bern and rail to Goldsboro, then sent to Greensboro to rejoin his regiment. There he would have been mustered for whatever pay he was due (but probably never saw it) and paroled. From there, he would have made his way back home with the rest of his unit, likely on foot.
Quite interesting. My relatives were from the Gibson County area as well- down on the Madison County line near Medina. One served with Forrest in the 21st Tennessee Cavalry, another in the 6th Tennessee Cavalry (Union).