I found a record that indicates Edward's father was Henry Gay Jr. who was born 1796 and died in 1858 in Harlan County Kentucky. He married Hannah Couch in 1837. Their children were Edward, born in 1839 and Julia Gay.
Henry Gay Sr, born 1759 and died 1820 in Perry County Kentucky. His first wife was Jane Henderson. His second wife was Margaret Russell of Hawkins Co., Tennessee. They had 11 children: Henry Jr, Jane, Rachael, Lewis Russell, Margaret, Nelson, Violet, Elijah, Mary, Joseph, Joanna,