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Their Bahamian exile was particularly interesting because I had visited the islands many times in the 1980s and had become highly intrigued by the Duke’s suspicious role in the investigation of a notorious murder (in 1943) of a local millionaire called Sir Harry Oakes. In my novel I try to make a convincing case — and the evidence is damning — that the Duke of Windsor conspired with corrupt detectives to pervert the course of justice and would have happily seen an innocent man hang for Harry Oakes’s murder. The more I came to learn about the Duke the more I came to dislike him. But the Duchess — subject of so much obloquy over the decades — was different. I wasn’t so much charmed by her as came to understand her better, somehow. The fact is that in the hell of their Bahamian exile — she called the place “this moron paradise”—the Duchess actually behaved extremely well — with patience, decorum and graciousness. The image of her as a spoilt, grasping harridan, manipulating the ineffectual Duke, doesn’t chime with the serene public face of the woman who was in fact loathing every minute of her life in Nassau. One could argue that almost everything that the Duchess aspired to in marrying the Duke was now absent from her life in the Bahamas. Position, high society, renown, glamour, haute couture and all the fine things money could buy were absent — or rather were replaced by farcically reduced simulacra. She had position — she was the governor’s wife — but that was a joke in this tinpot colony. High society was composed of dreary official receptions for visiting minor dignitaries and the unsavoury local politicians. Renown didn’t exist — during the war they were virtually forgotten — and as for haute couture, copious perspiration will make a mess of the most elegant outfit. And so on.

What makes the Duchess’s compliance more remarkable is that this role-playing, this tolerance of circumstances that she could never have imagined she was destined for, was not inspired by great love. The relationship between the Duke and Duchess was heavily one-sided. He adored her abjectly, slavishly, caninely. She was fond of him: the “great love” flowed only in one direction. It says something about the Duchess’s own sense of duty that she didn’t crack up under the strain. Her health was bad, she suffered from ulcers, but she didn’t let the side down. During the Bahamian years, 1940–5, she behaved, it has to be said, in an exemplary manner: just like a true royal.

But in fact the Duchess did crack — the mask slipped — but not until six years later. In 1951 she met a young man called Jimmy Donahue. He was good-looking, good company, very wealthy and homosexual. And the Duchess became obsessed by him. What is fascinating about the relationship between the Duchess and Jimmy Donahue is that such a fall from grace took so long in arriving. The suspicion remains that it was an after-effect of those years of drudgery during the war. Jimmy Donahue — a gossip, a joker, outrageously camp — offered the Duchess something that had been absent from her life and still was: fun and frivolity.

The Duchess was fifty-five, Donahue was twenty years younger. He was an heir to the huge Woolworth fortune and initially the Duke and Duchess’s interest in him was purely mercenary: Donahue’s even wealthier mother was lavish in her gifts to the royal couple and they did very well by her. In 1951 the Duke was a lugubrious, fussy, hollow man. The empty life he and the Duchess now led was well established and for the Duchess the prospect of the years ahead was daunting. She set out to win Jimmy Donahue and quickly did so. The Duke and Duchess and Jimmy Donahue became an unusual trio in the beau monde of Paris and New York and Mediterranean cruises where the Duchess’s torrid embroilment with her new young friend was rarely concealed. They were observed kissing passionately in a Parisian night club; one of Jimmy’s friends provided him with the use of an apartment so they could meet when the Duke was away. There was a sexual relationship between the Duchess and Jimmy Donahue but what precisely went on behind the bedroom door will only be informed guesswork. Donahue himself later claimed that it was mutually bestowed oral sex but by then he had been ousted from the royal circle and consequently his testimony has to be weighed up in that light.

But something carnal did go on and the relationship lasted just over four years. It ended with a row in a restaurant in Baden-Baden. Jimmy was growing bored trailing around Europe with the elderly couple. One evening he got drunk, became angry at some remark the Duke made and kicked the Duchess under the table, drawing blood on her shin. The Duke ordered him out and the end of the affair was finally achieved.

It’s not hard to imagine what the Duchess took from this association. In the kind of life they led — of peripatetic, well-heeled idleness that took them on a seasonal round to Paris, New York, Palm Beach, Biarritz, Monte Carlo, Portofino and back again — the great enemy is boredom. Jimmy Donahue was a gossip and a prankster and his own wealth and social connections made him unimpressed by the faux-regal aura around the Duke and Duchess. He made the Duchess laugh and passed the time, and the fact that he was handsome and prepared to put his own sexual proclivities on one side in order to pleasure her was an added bonus. As for the Duke, he became a public cuckold, a subject of whispered jokes and condescending tittle-tattle, but he bore the humiliation, until the final row, with glum stoicism. Nothing, it seemed, could dull the edge of his total devotion.

The Duchess, it has to be said, behaved badly and seemed unperturbed by her betrayal of her husband. As one of her friends later told her, Jimmy Donahue had destroyed her reputation and indeed it is the Duchess’s post-war incarnation — the mask-faced, immaculate, society hostess and permanent house guest of the vastly wealthy — that has coloured the world’s perception of her, subsequently. It is interesting to contrast her behaviour with Jimmy Donahue with the recent revelations of her so-called affair with Guy Trundle in 1935, before the abdication. But, thinking of the Duchess I “know,” I find I’m highly sceptical about the Trundle relationship. I can easily understand why she became infatuated with Donahue in the 1950s but I cannot imagine she would ever risk betraying the Prince of Wales, as the Duke then was, for a brief fling in a Mayfair flat with a man from the motor trade. Too much was at stake in 1935 for her to risk even a whisper of scandaclass="underline" the prize was too big and her own affair with the Prince of Wales was by now fully established and at its most intense. I would argue that her behaviour in the Bahamas during the war underlines that she had as clear a sense of protocol and duty as any royal. That punctiliousness would have been at its most acute while the Duke was wooing her and the prospects of a royal marriage one day were not some impossible fantasy.