According to her marriage notice, Emma Watts Grimes was born Emma Allen, second daughter of Robert Allen of Falmouth, Cornwall. (The birth of an Emma Allen was registered in Falmouth in March 1846, which is in keeping with her 1867 marriage.)
In 1867, in Toowoomba, Emma Allen married James Watts Grimes (sometimes given as Watts-Grimes) (see notice, Darling Downs Gazette and General Advertiser, 29 June 1867, p.3). James Watts Grimes worked as an auctioneer, and appears to have died before his wife returned to England (see note 'Ellerton Gay', Darling Downs Gazette, 15 July 1893, p.2).
With her husband, she had at least two daughters: Mabel, described as her 'eldest daughter', was married in 1894 in India to Mr Aylmer Campbell of the 3rd Punjaub Cavalry (see 'Brisbane Society', The Queenslander, 1 December 1894, p.1051).
By 1893, she was said to have lived in England for some six years (after eighteen years in Toowoomba), from where she was writing novels set in Queensland (see 'Our Melbourne Letter', The Queenslander, 15 October 1892, p.725). She was also contributing short stories to the London-based periodical Sketch, though none of these have been traced thus far (see note 'Ellerton Gay'). She certainly published in British magazines: her short story 'After the Verdict' appeared in the London Magazine in 1903-1904.
The fact that Emma Watts Grimes wrote as 'Ellerton Gay' appears to have been an open secret in her lifetime, but slowly disappeared from public knowledge after her death: see Belinda Mackay's article for more details.