A reference by an S Lewis in 1833 is evidence of practising Primitive Methodists in Haverfordwest.
The 1851 Census of Places of Public Religious worship, records Primitive Methodists meeting in a place they had used wince 1836. It was not used exclusively as a place of worship. The census was completed by William Allen, Class leader, who was a boot maker by trade.
The GenUK website gives a little further information, suggesting it was closed by 1858, although the record office has Primitive Methodist records from 1847 -1907.
Where was the chapel? Paul suggests it was on Prendergast Road