George Edwardes hired Ray to understudy Gertie Millar in "The Toreador" at the Gaiety Theatre, London in 1902, where she had the chance to play the role on many occasions. She then took over for Letty Lind in "The Girl from Kays" at the Apollo Theatre, earning good notices for her graceful, acrobatic dancing in particular. Next, she earned considerable fame playing Thisbe in the hit musical "The Orchid" (1903), where she danced in pink pyjamas while singing "The Pink Pyjama Girl". She continued to appear in Edwardes' productions in 1905 and 1906, including three successes at the Prince of Wales Theatre: "Lady Madcap" (1905, in which she performed a popular Parisian dance, "La Maxixe"), Lady Dorothy Congress in "The Little Cherub" (1906) and So-Hie in "See See" (1906). The same year she also played Eglé in "The Merveilleuses". In 1907, Ray played Frou Frou in Edwardes' adaptation of "The Merry Widow", which ran for 778 performances at Daly's Theatre. Ray's dance number, complete with handstands and high kicks, all performed on a table at Maxim's held head high by four men, was a show stopper. Next she was Daisy in "The Dollar Princess" (1909) at Daly's and Polly in "Peggy" (1911) at the Gaiety.