Lance-Corporal Gay was one of the musicians in the Band of the Grenadier Guards that was invited to attend the St Louis Exposition in 1904, also known as the Louisiana Purchase Exposition or World's Fair that formed the basis of the Judy Garland Musical, Meet Me In St Louis. He is listed as one of the Cornet soloists, playing 23 solos, such as Liddle's Abide With Me, Mendelssohn's Oh For the Wings of a Dove, and Ave Maria by Mascheroni.
The Grenadier Band uniform is clearer here than in the group photos of 1903 and 1904. The forage cap worn by R Gay in this 1904 photo is more like the one worn by today's guardsmen, and markedly different from the straight sided cap worn a year earlier. It is Blue-topped with a scarlet cap-band. The peak appears to have gold braid along the edge. The gold lace on his chest and 4-buttoned cuff is 0.75 in wide but doubled over with a pointed end. The lace along the edge of the cuff, around the top of the collar and down the front edge is of vellum pattern and 0.5 in wide. The same lace is used for his 3 good-conduct chevrons while the wider lace would be used for his two lance-corporal stripes. The collar and cuffs are dark blue and he has an embroidered bomb badge on each side of his collar. Despite his long service he has no medals for overseas campaigns.
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