Margaret Sheila Mackellar Chisholm, daughter of Harry Chisholm of Sydney, NSW, Australia and Francis Edward Scudamore St Clair-Erskine, Lord Loughborough, eldest son of the fifth Earl of Rosslyn. The couple married in 1915. The marriage suffered from Loughborough's drinking and gambling and the couple divorced in 1926. In 1920, Albert, Duke of York, the future King George VI was linked romantically with Sheila who, at that point, was still a married woman. She married secondly in 1928, Sir John Millbanke, eleventh baronet (d. 1947) and thirdly, Prince Dimitri Romanoff of Russia in 1954. She died in 1969.