He had wanted to know what he should wear for his picture. I didn't have a clue. Well, what would the pitch of my piece be? he asked. I didn't have a clue. I told him to wear whatever he'd feel comfortable in. He opted for the suit. I knew he would. He explained later - he is a great explainer of things that don't necessarily require explaining - that he had asked about what to wear because he thought I might want him to look like a diplomat.
I don't think he was being funny. He can, be, in a dry way, but you have to listen carefully - and he is too careful to be too funny to a journalist.
He goes to functions all the time, and gives functions all the time, in New York, where he lives, and on his diplomatic travels, and of course he is very careful about drink and cocktail things on sticks: the perils of the diplomatic life. "You have to be pretty careful, really."
He was in Auckland to pick up his distinguished alumni award from the University of Auckland's law school, from which he graduated in 1968. I idiotically asked if it was a fun occasion; he had a cautious answer to that: "It was a really nice occasion."
The other awardees included an architect, an artist, a wine maker and "we had a woman who is a world-recognised developer of pharmaceutical [pancreatic and liver cancer-treatment] drugs. By comparison I felt very much in their shadow".
Did he really? "There are people who are going to cure cancer. And building a house ... The only thing more permanent is planting a tree."
He is the Permanent Representative, which is a funny job description for a job which can't be permanent. Still, the longest-serving UN diplomat has been "in the bubble", as our diplomat calls it, for 28 years. He works hard (as always) at making sure he and his wife, Marcy, get outside the bubble as much as is possible. They have a very nice apartment on one of the cross streets that wind through Central Park and they share it with Bella, their NZ-born Cairn terrier - it "cost more than it cost to take us to New York" to get her there. He is quite soppy about this dog and she sleeps on the bed, but only when Marcy is away. She is a very good dog and hangs on until she is taken out in the morning to go to the loo. I would like to see His Excellency walking Bella through Central Park, carrying the obligatory plastic bags. You couldn't accuse him of having put on any airs and graces.
We got to the topic of the dog in a rather ridiculous way. I asked if he had any pets and he thought I meant among his friends, which really would have been odd. He said, with characteristic restraint: "That's probably not quite the term." I said: "I meant animals!" I'm sure he's had many comparably ridiculous misunderstandings at diplomatic cocktail parties, but at those he is no doubt as diplomatic as he was with me over such silliness. "Oh," he said. "Oh, yes. Sorry."
So I don't know which of his political friends Mike Moore, Michael Bassett, Paul East, Michelle Boag, to name a few, would qualify for being a pet friend. He and Jim Bolger - who rolled him after he rolled Muldoon - have a "tidy relationship", which is a wonderfully tidy way of putting it.
Shall we do Muldoon now? He would much rather we hadn't done Muldoon at all. He says the media are obsessed with Muldoon. I was to prove no exception. "You're obsessed," he said. And I take his slightly shirty point that he was an MP nearly three decades ago but, still, he is the man who rolled Muldoon - so he might have guessed I'd be at least a little interested in that part of his life.
He is not in the slightest bit interested. He is - like that other UN high-flyer of ours, Helen Clark - a mover-on. He does not look back, he is not a naturally reflective sort. (Although like all former politicians he is happy enough to reflect on political achievements - in his case, the Official Information Act and the restructuring of the court system.)
But he wanted to be the PM, surely? "Did I? I'm not 100 per cent sure." Was he 100 per cent sure at the time? "I'm not sure. To be honest, I'm not one of those people who looks back ... I tend not to look back unless I have to deliver a speech or explain something I did in the past. But I don't like to dwell on the past very much."
In the past, he has said that he was "used to having a blowtorch run up and down my arm". He says now that Muldoon "certainly ran the blowtorch up and down some people's arms - and some of them wilted". How is his arm? "Still there. I've got the scars."
He was Muldoon's deputy and if he hadn't put his hand up to take over, his political career would have been buggered in any case. I thought he was widely held to have buggered it consequently by demoting Bill Birch and George Gair, who then supported Bolger, who in turn rolled him ... But I got a blowtorch of a look for suggesting this was a fatal mistake.
"Was that a mistake?" He doesn't think it was? "I'm not going to pass judgment. I did what I believe was the right thing at the time."
As it was, Muldoon did not go gracefully. "Brian Talboys said at the time, his words were something like: 'When Rob goes, he'll grab the pillars of the temple and take them down with him.' And, okay, I think that's probably true. I suspect that if it hadn't been me that followed him, the same thing would have happened to that person."
No doubt, but Muldoon was ghastly to him; he called him "Wendy", for heaven's sake - presumably in an attempt to make him appear weak. McLay shrugged and said: "Sticks and stones, really." He says he was never frightened of Muldoon. He knows people think he's thin-skinned, but that is more sticks and stones. "I just ignore it."
But does he think he's thin-skinned? "As I say, I just ignore it. It's part of the territory. You expect your political opponents to be critical."
He quite obviously didn't expect me to be critical. He is no doubt used to being important but he wears it as lightly and as well as he wears his suit. He is not pompous (another peril for diplomats and elder statesmen); he narrowly escapes being pedantic, although his cautiousness could be mistaken for pedantry.
He edits what he says as he's saying it. "Delete that," he said when I phoned him, about some entirely innocuous comment he made about something so inconsequential I can't even remember what it was about. I told him that would be his last "delete", but small chance of that.
He said, about his career, "I never make plans", then when I suggested his was, then, an accidental career, he said, that was quite right: "Very much so." But then he decided that was quite wrong and edited both of us: "Don't use the word 'accidental'; an unplanned career."
He gave me a copy of a pitch for New Zealand's seat on the UN Security Council. It was riddled with edits, marked in pen, presumably by him - so it was like looking at the inside of his head. I imagine being his PA would be an interesting job.
He likes to "half" joke that of his jobs thus far - I mentioned retirement and got ticked off, so delete that - none have done him much good if he had set out to be liked.
"I started out as a lawyer and I found that wasn't very popular, then I became a politician and found that wasn't very popular, so then I became an investment banker and that is certainly not popular."
That was an effective way of getting in ahead of the thin-skinned accusations. But is he popular now? "I don't know!" Does he care? I don't know. He is probably a bit thin-skinned, so he might, a bit. But he is so resolutely determined not to be reflective, who could be sure? Perhaps it is this resolve that makes him appear thinner-skinned than he actually is; it can come across as defensive.
Still, I was very glad to have met him. (Perhaps rather gladder than he was to have met me.) For one thing, he is almost certainly the only person I'll ever meet who has had a glacier, in Antarctica, named after him.
"Well, I worry a little bit ... as to whether it will survive. It might have been better to have a mountain, but I wasn't given a choice."
And he is, after all, whether he likes to be reminded of it or not, the man who rolled Muldoon. I might well be obsessed, but, really, who wouldn't want to meet that man?