She was played by Catherine Dent.
Kay Marquette is a waitress at a bar/pool hall who regularly participates as a member of the Sherlock Holmes society, which includes its members dressing in character. In the case of Kay, she portrayed Irene Adler, and the club was the only source of solitude for her. She hated her job as a waitress, as she was constantly hit on by various men, but she needed that job to take care of her ailing mother--despite later claims from Kay herself that her mother never loved her.
In the last meeting, Denny Kingsley (who played Sherlock Holmes) announced that their meeting would be the last, as he was leaving to spend more time with the family. After hearing that news, Kay became deranged and devised a murderous scheme.
Knowing that Denny was a habitual cocaine user, the evil Kay broke into Denny's home and switched the cocaine with morphine, which knocked him out. After this, the villainess took out some surgical tubing and tied one end to the fireplace and the other to a gun, and later placed Denny's hand on the weapon and shot him in the head, killing him. Kay later took Denny's blood and splashed some on Nelson Oakes' (Dr. Watson) shoes, planning to frame him for the murder.
During her interrogation, Kay stated to Brass that she framed Oakes because he convinced Denny to go back to his family, and accused him of not caring about what it was doing to her. The deranged villainess (in a British accent) also stated that Denny would have wanted his murder to be the perfect puzzle; a mystery worthy of the Master, and gave a giddy and crazed laugh afterwards. Kay was later arrested for killing Denny.