Georgina Jones was the daughter of Nevada Senator John P. Jones (1829-1912). Her mother was Georgina Sullivan Jones, called Bonnie, who had been raised in France and passed on a love of music and the arts to Georgina, which led her to move to Paris to train her voice, along with her sister, Alice. Alice later married Frederick MacMonnies, a sculptor and silver medalist in 1932 in the Art Competitions. Her other sister, Marion Jones, was also an accomplished tennis player and won two bronze medals in 1900 tennis. The two learned to play tennis at West Side Tennis Club in New York. Georgina later joined the Vedanta Society, which studied Hindu philosophy, and became known as Sister Daya. She was a close follower of Swami Paramanada, and later wrote the play “The Light of Asia”, which was turned into a show choreographed by Ruth St. Denis.