- Grew a beard and mustache to play "Czar Nicholas II" in Fall of Eagles (1974) but the make-up crew decided to use a false beard that could change as the character aged. Kay found the false beard extremely uncomfortable.
- Studied medicine before deciding to become an actor. Was age 28 when he graduated from Royal Academy of Dramatic Art (RADA).
- Graduated from Royal Academy of Dramatic Art (RADA).
- An Associate Member of Royal Academy of Dramatic Art (RADA).
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