In the mid-1930s, the Penick family relocated to Cincinnati, Ohio, where they remained for several years before returning to Dry Ridge. They later moved to Erlanger, Kentucky in 1947. Davis was raised a Protestant, attending Disciples of Christ churches. As an adolescent, Davis was inspired by the music of Betty Hutton, and also developed interest in musicals, memorizing songs from films such as "Stage Door Canteen" (1943) and "I'll Be Seeing You" (1944). She would sometimes stage routines in her backyard, dancing, singing, and telling ghost stories to neighborhood children. When Davis was in seventh grade, her father relocated to Oak Ridge, Tennessee for work. She and her siblings remained in the care of their mother who, during this time, became an alcoholic. In the summer of 1948, Davis and her family relocated to Covington, Kentucky, where her father was working as an electrician, and moved into a house owned by the Villa Madonna Academy, run by Benedictine nuns. Davis became fascinated by the sisters, and for a time considered becoming a nun.