In 1934, Lord Alfred Dunhill, chairman of the tobacco company, commissioned a motor cruiser from Zabell Bros. of Westcliffe-on-Sea, Essex. The project was subcontracted to E.G. King & Son, where local craftsmen George Davis and his son Eric designed and built the vessel. Eric Davis, recalling the construction in his eighties, described the process: the workshop lacked a shed large enough to accommodate the boat, so a canvas shelter was erected outdoors, which also reduced costs. The team worked with minimal equipment—only a single 100-watt electric bulb and no machinery—with every part handcrafted. Timber was sourced from Maldon, Essex, where templates were used to cut the wood to size before shaping by hand. Three men worked on Lady Gay for nearly five months, with Eric earning less than £3 per week. Lord Dunhill visited the yard every Saturday, arriving in a chauffeur-driven car and distributing cigarettes and occasionally pipes. The completed vessel cost £1,500.

Without a slipway, George and Eric Davis, assisted by helpers, manually dragged Lady Gay down a hill, through a local car park, and over a sea wall adjacent to one of the Bastions before launching her into the water. The twin Morris Commodore engines started immediately, and the boat was ready for use. Shortly after launch, a heavier lead keel was added to improve stiffness and stability. Given her displacement of nearly 14 tons, moving her over the sea wall was a significant challenge.

Prior to World War II, Lady Gay was sold to Major W.E. Cook of Frinton-on-Sea, Essex, as indicated by a change of ownership in the 1939 Lloyd's Register. Initially requisitioned by the Royal Navy under a net charter party arrangement at £6 per month, she was formally acquired by the Navy in 1942 for use as a Thames and coastal patrol boat. Although her Navy number is not documented and her name does not appear on Dunkirk ship lists, evidence confirms her presence during that period. The Navy laid her up in 1944.

In 1946, Vernon Bodley purchased the vessel, who later sold her to J.W. Gozzett of Wickham Bishops, Essex, as recorded in the 1948 Lloyd's Register. Subsequently, Lieutenant Commander F.W. Clerke RNVR acquired Lady Gay, and she became property of the 1st Carshalton Sea Scouts, serving as a training vessel. During this time, her name was changed to Lord Nelson. Lt. Cmdr. Clerke was both Scoutmaster and Commanding Officer of the Carshalton Sea Cadets.

Mr. A.L. Brown, a Sea Scout in the 1950s, recalled weekend trips on the Thames between Teddington and Erith, where the vessel was moored on Saturday nights. He noted the strong petrol and oil vapors from the Morris Commodore engines, as the petrol/paraffin conversion had not yet been installed. The Lord Nelson replaced an earlier boat named Monarch, originally a steam-powered pinnace from Dartmouth.

The boat was later sold by the Sea Scouts and purchased by the Coltman family, who used her as a live-aboard vessel on the Lower Thames after acquiring her from Tough's Boatyard. Attempts to re-register her under the original name Lady Gay were unsuccessful due to the name being taken, resulting in the vessel being registered as Mehatis, a name she retained until the late 1990s. In 1972, her petrol/paraffin engines were replaced with Perkins diesel engines, which remained in service until 2010.

During the 1980s, the Duke family owned the vessel and undertook extensive cruises on the waterways of France, Holland, and Luxembourg, including voyages down the Rhine. The vessel has since regained her original name, Lady Gay, and is currently maintained on the non-tidal Thames. Significant restoration and upgrades have been carried out by the current owners, including re-engining with twin Nanni diesel engines and the addition of an outside helm position. The original hull and keel remain in excellent condition, attributed to the robust construction that exceeded typical standards for her size, positioning her well for continued preservation.