This may be of only marginal help to you, but the World War I Draft Registration Card for Percy listed his mother Virginia as then living in Tyro, Virginia, which is on Highway 56 near Massies Mill, Nelson County, Virginia.
And the 1920 Census for Massie's Mill, Nelson County, VA, listed Percy Wright, age 22 and born in VA, as a boarder in the May Anderson household and that he was divorced, which is consistent with the family story.
So you might want to search the Nelson County, VA, marriage records for the period 1912 to 1920 to see if there is a marriage record there for Percy's first marriage.
I checked the 1900 Census for both Nelson and Amherst Counties and did not find anyone who would fit your Percy Harrison Wright.
Robert N. Grant
15 Campo Bello Court
Menlo Park, CA 94025RNGrant@grantandgordon.com