McCoy's dancing and singing capabilities were frequently commented on by newspapers, though she received additional attention in two separate incidents where the stress of her performances led to mental breakdowns that resulted in hospitalization both times.

Born in Baltimore[1] to a pair of circus performers, she and her sister, Bessie McCoy, were raised in a family trained in dramatics, particularly after their mother became a character actress.

[2] McCoy began starring with her parents in child roles starting at four years old, with her first impromptu performance being running onto the circus stage and re-enacting the ringmaster's actions in a more childlike way.

[3] Her later young performances ended up being accosted by the Gerry Society while starring in A Trip to Chinatown with her sister as child dancers when she was eleven.

[4][5] The sisters signed to the company Wober & Fields in 1903[4] and began performing in stage productions by dramatist Charles H. Hoyt that were organized by Sam S. Shubert.

[2] During the 1905 production of The Earl and the Girl, McCoy's role involves a "drunken song" and moving through a series of silk hats, a scene that the Virginian-Pilot stated was "worth the price of admission".

Compared to other dancers, the natural form she used exemplified her personal style that was heighted by "little touches of humorous pantomime" that are constantly drawn from her "inexhaustible store of exuberance".