 Jay also served as the 40th President of the Saint Nicholas Society of the City of New York.In June 1878, Jay was married to Lucie Oelrichs (1854–1931).Lucie was the daughter of Henry Ferdinand Oelrichs, a leading New York merchant, and Julia Matilda (née May) Oelrichs, and the sister of Hermann Oelrichs (husband of Theresa Fair Oelrichs), and Charles May Oelrichs (husband of Blanche de Loosey Oelrichs).