Her father was Teackle Wallis Warfield, the fifth and youngest son of Henry Mactier Warfield, a flour merchant described as "one of the best known and personally one of the most popular citizens of Baltimore" who ran for mayor in 1875. Her mother was Alice Montague, a daughter of stockbroker William Latane Montague. Wallis was named in honour of her father (who was known as Wallis) and her mother's elder sister, Bessie (Mrs D. Buchanan Merryman), and was called Bessie Wallis until at some time during her youth the name Bessie was dropped.