Davis was born in Evanston, Illinois, and attended Evanston Township High School. She studied voice and piano at Northwestern University, where she received her bachelor's degree in 1942, and her master's degree in 1943. Her grandfather, William H. Twiggs, was a civic leader for whom a park in Evanston is named.
In 1944, she joined Duke Ellington's orchestra, where she sang alongside Joya Sherrill and Al Hibbler. She is best known for her wordless vocals in pieces such as "Transblucency" and "On a Turquoise Cloud." She also sang pieces with lyrics. She is the only person Ellington allowed to reprise Adelaide Hall's wordless vocal on "Creole Love Call." Davis and Billy Strayhorn gave the first performance of Strayhorn's "Lush Life" on November 13, 1948, at Carnegie Hall. With Ellington's orchestra, she appeared in the film shorts Symphony in Swing (1949) and Salute to Duke Ellington (1950), both for Universal-International.
Davis toured England with Ellington and Ray Nance in 1948, and in Europe with the full orchestra in 1950. After leaving Ellington's orchestra in 1950, she married Edward Wimp in 1952. They had one son, Edward L. Wimp. They retired to Florida.
- Duke Ellington, Black, Brown, and Beige (Bluebird, 1988)
- Brown, Carrie Moea (Spring 2006). "Kathryn Wimp's Musical Journey with Duke Ellington" (PDF). Shorefront Volume 7 Number 3. Shorefront. Archived from the original (PDF) on April 2, 2012. Retrieved September 8, 2011.
- Kay Davis entry at Solid! website Archived 2009-02-10 at the Wayback Machine