Murray married her fourth husband, David Mdivani, on June 27, 1926. They had one child, Koran David Mdivani (1926-2018), before divorcing in 1933. Koran was later raised by Sara Elizabeth "Bess" Cunning of Averill Park, New York, who began taking care of him in 1936, when the child was recovering from a double mastoid operation (Cunning's brother Dr. David Cunning was the surgeon). When Murray attempted to regain custody of her son in 1939, Cunning and her other brothers, John, Ambrose, and Cortland, refused, according to "The New York Times", at which time Murray and her former husband, Mdivani, entered a bitter custody dispute. It finally ended in 1940, with Murray being given legal custody of the child and the court ordering Mdivani to pay $400 a month maintenance. However, Koran Mdivani continued to live with Bess Cunning, who adopted him in 1940 under the name Daniel Michael Cunning. Reportedly, Mdivani had managed to drain nearly all of Murray's money.