McCoy was born into an Irish immigrant family in New York City as Elizabeth McEvoy;[1][2] most sources give the year as 1888 though census records suggest 1884.

[4] She became famous for her lazy, husky singing while performing unusual acrobatic dance routines while dressed in a clown's pajama suit with a fool's cap topped by a puff ball.

[2] Nell Brinkley, who saw McCoy perform, described her thus:She swings on her heel and leaps away into a wild fantastic headlong dance—the dance of a crazy king's clown, half girl, half wild boy, heady with the wine of the Spring air at twilight … The black satin of her bloomers fills like sails, and they ripple and flatten against her body.

She circles madly around the boards, touching lightly and rebounding from the jutting points of the painted mock scenery, like an imprisoned moth, or an elf hunting for some lost thing and fearful of being caught.

[2] After her husband's early death in 1916 from a heart attack, she returned to theatre work and vaudeville as Bessie McCoy Davis, and starred in Miss 1917, and the 1919 and 1920 versions of The Greenwich Village Follies.