On 19 November 1910 Wellesley rescued 20 year old May Haviland from an attempted suicide when she threw herself into the Thames from Putney Bridge with two six pound weights attached to her neck.

[8] Wellesley married Louise Nesta Pamela FitzGerald, the widow of his older brother Richard, in New York, on March 12, 1917.

[9] She was the daughter of Sir Maurice FitzGerald, 2nd Baronet, and Amelia Catherine Bischoffsheim.

Wellesley was appointed a wing commander in the RFC, with the temporary rank of lieutenant colonel, on 1 October 1917.

[10] He gained the rank of squadron leader in 1939 in the service of the Royal Air Force Volunteer Reserve (RAFVR).