She was the daughter of William Thaw, Sr., who is considered one of the 100 wealthiest Americans of all time arising from his ownership of the Pennsylvania Company,[2] and her father's second wife, Mary Sibbet Copley.

From her father's first marriage to the former Eliza Blair, she was a younger half-sister to five (that survived childhood), including Benjamin Thaw Sr., a banker and philanthropist.

[3] From her parents marriage, she was one of five additional children (that survived childhood), including Harry Kendall Thaw, who married the actress Evelyn Nesbit (and later murdered Stanford White over her affair with the architect),[4][5] and Margaret Copley Thaw, who married George Lauder Carnegie, a nephew of Andrew Carnegie, and after his death, Roger, Comte de Périgny.

[13][15] Their engagement was announced in February 1903 and they were married shortly thereafter on April 27, 1903, in Pittsburgh,[16] but not before the Earl "extorted" her mother to increase the dowry under the threat he would not go through the marriage.

"[11]Reportedly, "scores of tales have been told of the sorrowful life of the Countess, and it was a well-known fact that within a few months after the marriage the ill-treatment of his wife by the Earl began.