The CE mark and its associated paperwork was required only on boilers made professionally ("by way of trade" and after a certain date (I forget which now).
Otherwise, whoever made it, I see no reason for it not to be tested under the present MELG scheme (the white with orange print cover, book). If the original papers are missing, it would be tested as if a new boiler; and will want a "Written Scheme of Examination" that is primarily a tick-box description of the "pressure equipment".
Not though that although the test certificate is matched only to the boiler by its description and serial number, the WSE also identifies the owner, a point to consider in selling an engine. However, this should not present any real difficulties.