Hay was born at Newhall in East Lothian, Scotland. He was the son of John Hay (d. 1765) and Dorothy (née Hayhurst) Hay (d. 1808). His siblings included William Hay (who married Lady Catherine Hay, a daughter of the 4th Marquess of Tweeddale), Edward Hay-Mackenzie of Newhall (who married Hon. Maria Murray-Mackenzie, a daughter of the 6th Lord Elibank), Dorothea Hay (who married James Hay), and Margaret Hay (who married Allan Macdougall of Gallanach).[1]
On 18 April 1785, he married Lady Hannah Maitland, a daughter of James Maitland, 7th Earl of Lauderdale and the former Mary Turner Lombe (daughter and co-heiress of Sir Thomas Lombe, Alderman and Sheriff of London). Together, George and Hannah were the parents of eleven children, including:[3]
As a result of the marquess's declining health, he and his wife went to travel the Continent in 1802, starting in France. It was here that they were captured by Napoleon's police a year later, with other British subjects, when war was renewed between the two countries. They were then imprisoned in the fortress at Verdun and the marchioness died there on 8 May 1804, as did the marquess during the following August on 9 August 1804.[5]
^ abcdefghijG.E. Cokayne; with Vicary Gibbs, H.A. Doubleday, Geoffrey H. White, Duncan Warrand and Lord Howard de Walden, editors, The Complete Peerage of England, Scotland, Ireland, Great Britain and the United Kingdom, Extant, Extinct or Dormant, new ed., 13 volumes in 14 (1910-1959; reprint in 6 volumes, Gloucester, U.K.: Alan Sutton Publishing, 2000), volume II, page 343.