Margery and Maud Maquay [Active 1910s-20s.] were very probably sisters. If not sisters, they were cousins. They won the Doubles at Italian Closed Championships 1925, were in Italian rankings from 1922 to 1926, in our yearly threads are present in 1911 and 1923, and they were both painters too.
I have found info on Margery only.
The Maquays was an Irish banking family, transferred through marriage to Florence in Italy in the early part of the nineteenth-century.
John Leland Maquay jr. married Elena Gigli (Margery's grandmother) of an old Tuscan family in 1828, and he lived in Florence for the following thirty years, before return to Ireland with his wife ten years before death.
In Florence he founded and ran the Pakenham and Maquay bank, and they had four sons: William was Margery's father.
Margery married Julian Edward Caccia (b 1867-d 1941).
The Caccia family originated in Tuscany - it is mentioned in Canto 29 of Dante's Purgatory - and settled in England in the early 19th century.
A nephew of Julian Caccia was Lord Harold Caccia, a British diplomat.
Probably Margery had foreign nationality until 1941. As foreigner, during WWII all her possessions were confiscated and returned in January 1941 when her husband recovered the Italian citizenship and Margery renounced the British citizenship.
I have found a document of Italy Kingdom 1941, where this fact is told. It writes "British citizenship" but the Maquays were Irish.