His grandfather had been a major in the 66th Foot before forming a private army for Charles Brooke, the second White Rajah of Sarawak.
Day distinguished himself by twice returning below deck, through smoke and flames, to rescue two injured men trapped inside, including the wardroom steward.
Later Day commanded the marine detachment of HMS Caledon at the burning of Smyrna, helping to evacuate Greek survivors of the Turkish massacres.
On 16 June 1924, he received a temporary commission as a flying officer in the Royal Air Force while on a four-year attachment.
[15] When war was imminent Day was promised a staff job at RAF Bomber Command headquarters, but he requested to join an operational squadron.
57 Squadron he moved to Metz as part of the air component of the British Expeditionary Force, which was equipped with the Bristol Blenheim light bomber.
[17] He volunteered to carry out the squadron's first operational mission, a flight from Metz to reconnoitre Hamm-Hannover-Soest on 13 October 1939.
He spent a few days at a German Army hospital having his burns treated before spending two weeks at a small camp at Oberursel (which later became known as Dulag Luft).
Day, with six RAF and five French POWs, left Oflag IX-A/H in December 1939 to be sent to Dulag Luft near Oberursel to become a 'permanent' staff at this new transit camp.
The permanent staff were also allowed out on parole walk and enjoyed ample Red Cross food and a good relationship with the German guards.
This 'privileged friendliness' caused suspicion with newly captured RAF aircrew who passed through the camp, and many accusations of collaboration were made against Day and his other colleagues.
[23] In fact, Day had been sending intelligence back home in coded letters, and together with other members of the permanent staff, including Roger Bushell, Jimmy Buckley and Johnnie Dodge, he had been active in construction of a tunnel, starting from under his bed, which was completed in the spring of 1941.
Any suspicions felt about Day from his time at Dulag Luft were quickly dissolved when the other inmates of the camp learnt of his exploits.
In October 1942, Day was sent to Oflag XXI-B at Szubin in German-occupied Poland where in March 1943 he escaped through the latrine tunnel with William Ash, Peter Stevens, Aidan Crawley and others.
Disguised in a tailored uniform to look like a civilian suit, together with another escapee (Pawel Tobolski), who was dressed as a German soldier, the pair travelled by train, through Berlin, reaching Stettin on the evening of the next day.
After a brief stay in the local jail, Day was taken to Berlin and was interviewed by Arthur Nebe, the man who selected the 50 escapers to be murdered, which included Tobolski.
He was also awarded the United States Legion of Merit in the degree of Officer for his services to American POWs.
Married to Margo, Day lived mainly on the Isle of Wight or at 6 Trevor Square, London.