Gay first appeared on stage in 1903 as a chorus girl. She soon rose to more prominent roles, and from 1904 to 1907 she toured the British provinces as Nan, the title role in the musical
A Country Girl, with a book by
James T. Tanner. She was often in works by
Noël Coward, including
London Calling! (1923, produced by
André Charlot), and
This Year of Grace (1928–1929, on tour in Australia). During her 1915 American tour, she was featured as a celebrity endorsement in newspaper advertisements for Lehman Pianos. In 1925,
Sketch magazine called Gay "one of our leading comedians." Her stage persona was described as both "matronly" and "madcap." One comic song by Coward, "There's Life in the Old Girl Yet," became her signature song, and her part in
London Calling! as "Miss Hernia Whittlebot" drew ire from
Edith Sitwell, who believed the role was a crude parody of herself. She performed in silent film during visits to the United States, including ''The Siren's Song
(1915). She made her first sound film in 1930, singing in To Oblige a Lady (adapted from the play by Edgar Wallace). She appeared in a second Wallace film adaptation in 1932, The Old Man
. Around the same time she wrote her autobiography, Laughing through Life'' (1931), and retired from the stage as she experienced advancing arthritis. ==Personal life==