This is such a startling story. My connection to it is that Mountiford Hay was the son of my great grandfather's first wife and her first husband. In other words, he was the son of Eliza Hay (known on the stage as Mabel Hayes) and Mountiford David Hay. Mountiford David Hay filed for divorce from Eliza when he found out about her affair with my great grandfather Robert John Hall, in 1881. Before the case could be finalised, he died of cirrhosis of the liver.
I had a look at the source for your idea of Phyllis going to the US in 1930, but it's not Phyllis but Phillip (he's noted as a Man in the census), so I think that's a mistake. I'm also not sure that Mountiford David was an actor: he is listed as a medical assistant and a postal worker.
Last interesting thing: my great grandfather and Eliza had no children, but my great grandfather married again and his children from that marriage apparently met the children of Eliza (possibly Mountiford Henry or his wife? because Eliza had only one son as far as I know) on a train by chance around 1920 (perhaps they made a wrong connection, but that is the family story)...
I would be very interested to know if you have any information on what happened to Eliza or Mountiford Henry after 1882 or so as I cannot find her in any subsequent English censuses, nor can I find evidence of her death. Mountiford H does appear in censuses with his wife Louisa.
Thanks for the info!