She was a great-granddaughter of Queen Victoria and a niece of Queen Mary.
Due to anti-German sentiment in England during World War I, George V changed the name of the royal house from Saxe-Coburg-Gotha to Windsor and renounced all of his German titles and the German titles of members of the British royal family.
In response, May's family renounced their German princely titles and the style of Serene Highness and adopted the surname Cambridge, after her ancestor the Duke of Cambridge.
Her father was then created the Earl of Athlone, and she was granted the precedence of the daughter of an earl with the courtesy title of Lady.
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