In 1976, director Ken Russell asked her to play an "aged American desperate for attention" in Valentino, his biography of Rudolph Valentino, in which she got to dance with the film's star, Rudolph Nureyev.
She appeared in the 1974 remake of The Great Gatsby.
In 1968 she returned to acting with a small role in the Julie Andrews film Star!
After moving to England during World War II, and except for the 1948 film I Killed the Count, Shay gave up acting for the next two decades.
Shay took a break from acting during her first marriages. After the second ended, she acted on Broadway in The Sap Runs High. She then returned to Hollywood in 1939 to play Joan Crawford's scene-stealing French maid in The Women.
Shay remarried in 1936 to Winthrop Gardiner, a member of a prominent New York family descended from Lord Lion Gardiner. After only six months, Shay filed for divorce because of Gardiner's much-publicized affair with ice skater Sonja Henie whom he later married. In 1940, Shay met British army captain Geoffrey Steele and fell in love. The couple married in 1941 amid speculation and bets by the tabloid magazines about how long the union would last.
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