Quay was interested in his family's history and genealogy. After discovering that two of his ancestors, John Quay and John Quay Jr., had married American Indians, Quay took an interest in Native Americans in the United States, and worked on their behalf in the Senate. The Delawares recognized him as a member of their tribe; Quay attended their annual summer convocations, and received several gifts and honors over the years, including election as a war chief in recognition of his military service and efforts on their behalf while serving as a member of the Senate's Indian Affairs Committee.