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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". According to Shay, her friend Groucho Marx thought she had a gift for comedy and offered to write material for her, but Shay refused because she wanted to be known as a "serious" actress.