The pictures were dissolute for the times, some featuring a shirtless king, his face full of dopey infatuation as he gazed into Wallis' more steely eyes. Dismayed, "she made a belated attempt to recapture her earlier life and break with the King", according to That Woman, a new biography of Wallis Simpson by British historian Anne Sebba.
"She told him she had to return to Ernest and the 'calm, congenial' life he offered," Sebba writes in the book. "... the King immediately telephoned and wrote and made it clear he was never going to let her go. If she tried to leave him ... he threatened to cut his throat ... he even slept with a loaded pistol under his pillow."
Sebba, who gained access to 15 private letters written by Simpson, says she "seriously wanted to get out of it".
"I found one of the most fascinating letters was the day the Crystal Palace burnt down [November 30]," says the London-based writer on the phone from Crete, where she has a home.
"She wrote three letters that day but in none of them did she refer to Crystal Palace. But she wrote to Ernest that she really missed what she thought was their life - 'wasn't life lovely, sweet and simple?' But it was part of her character flaw that she couldn't grasp when she had it that she should have clung on to it.
"She was playing with fire by indulging in this romance. The jewels turned her head and the lifestyle. She thought he would dump her like he'd dumped his other mistresses. I think she would have got out of it if she could have - but it was too late. She couldn't have blood on her hands as well as everything else she was hated for."
That Woman - an epithet used by the Duchess of York (later the Queen Mother) when she referred to Simpson - examines both partners in the relationship in depth, and Sebba quickly makes it clear how immature the Prince, soon to be the King, was.
Aside from his devotion to teddy bears, his letters to earlier lovers - he preferred married women - used baby language, with words like "pleath" and "vewy", calling one of them "my precious darling beloved little mummie".
He had eating disorders to the point of anorexia, he smoked and drank heavily. While he had always been an enthusiastic pursuer of female conquests, former girlfriends, according to the book, referred to him as "the little man".
Most significantly, he had no sense of duty. The idea of being the King, with all its responsibilities, bored and frightened him. Wallis was much more essential to him than his obligations to the British public, Parliament and the royal family.
Sebba uncovered a great deal of previously unseen material about the couple in newly released documents kept classified until after the death of the Queen Mother or due for reclassification through Freedom of Information requests, and concludes in the book that he was dangerously unstable. For example, she found references by staff and politicians referring to the King as "mad", which had been blacked out. One secretary was heard exclaiming, "he's mad - he's mad. We shall have to lock him up."
After a meeting with regard to the King's marital dreams, Prime Minister Stanley Baldwin's wife wrote, "S. said he felt a streak of almost madness ... S. was so impressed by the want of sanity and clear vision."
On the eve of war with Germany, the prospect of having a weak king hell-bent on appeasement with Hitler made what very quickly happened - his abdication in December 1936 - a pivotal point of history, which Sebba calls a "what if" moment.
"The King was clearly not up to dealing with affairs of state," says Sebba. "He could not read his papers. Neither Wallis nor Edward read books and that explains an awful lot. Edward had no hinterland at all. The only papers of state and the only newspapers he read were digested by her first, so no wonder the politicians were terrified of having a king in charge who would not take direction from them ... this man was off with the fairies. That's what I found so extraordinary, reading all the new documents in archives where the word 'mad' had been crossed out because, until the Queen Mother died, so much could not be said, to protect the monarchy."
Sebba scrutinises various theories about Simpson's sexuality, including speculation that she may have been born with a sexual disorder syndrome, Androgen Insensitivity Syndrome (AIS) - a person who is genetically male but develops outwardly as a woman.
The other possibility is that she was a "pseudo-hermaphrodite", a person who could not be clearly defined as a man or a woman. Either way, Simpson never had any children and her physique was flat and masculine. A visitor to the Windsors in 1958 is quoted: "I should be tempted to classify her as an American woman par excellence ... were it not for the suspicion that she is not a woman at all."
"I simply had to examine why contemporaries believed she was so mannish and what was so special about her sexuality," says Sebba. "I looked at the sexual disorder theory and I am prepared to believe it, because it makes such perfect sense - why she flirted so early on, why she was the first of her friends to get married [at the age of 18], why she was so obsessed with looking slim and why she knew she couldn't have children.
"Her first marriage was into the Spencers of Chicago, who came from a family where they had lots of children. That's what she would have expected, it was her duty. She may not have had a womb but her doctors would have been very cagey in the way they expressed it. In order to lead an independent sexual life in the 1920s and 30s, without fear of getting pregnant, she must have known something, so I felt it made perfect sense. But I am not going out on a limb to insist on it because you can't - short of DNA - prove it."
Once Wallis' divorce from Ernest Simpson was complete - a complicated and highly dubious process outlined in That Woman - her marriage to the former king (a small wedding "with embarrassingly few friends") took place on June 3, 1937, at the Chateau de Cande in the Loire Valley.
Sebba quotes from a guest's unpublished diaries: "On greeting Wallis she noted that she 'had forgotten how unattractive is her voice and her manner of speaking'. The Duke, she thought, 'sees through Wallis' eyes, hears through her ears and speaks through her mouth'."
Their problems were just beginning: they were not welcome to live in England as a "shadow" royal couple, they had no home, their income was uncertain and he had no professional function. Worst of all, as far as the Duke of Windsor was concerned, his wife was denied the HRH title. That became a source of deep, lifelong bitterness.
"The common perception is that he was the one who gave up so much for her because of this character trait of punishing himself," says Sebba. "He believed she had given up more and he could never quite make it up to her. He believed she had given up her 'good character' and he felt he had to do something to make it up to her. He spent his life humiliating himself and was very bitter towards his family.
"When he abdicated, he was never meant to be going into exile. He thought, 'I'll just go away until Wallis' divorce and then we'll live in England and everything will be hunky-dory.' But because they never gave her the HRH title, they could never go back so it was turned into exile. As long as she was going to be humiliated by coming back and no one was going to curtsy or treat her properly, effectively they were kept as exiles."
The British government eventually found the Duke a job, as Governor of the Bahamas, which kept him out of the way during the war. There, the Duke's racism surfaced and the couple refined their uneven, co-dependent relationship.
Post-Bahamas they were given a mansion in Paris by the French government, along with an informal house called the Mill, where the Duchess tried to recreate a royal ambience. But Cecil Beaton, among others, described the Mill's décor as "overdone and chichi ... simply not good enough".
"When she was given a free hand in interior décor, it was very fussy and over-the-top," says Sebba. "Her clothes were created by designers, very plain and elegant to show off the extraordinary jewellery. But the interior design was sort of pseudo-royal, very fussy."
Their lives grew ever emptier, revolving around trips to the hairdressers, lunches and fashion fittings. They ate little but drank a lot. Sebba writes: "Those who saw them now, in the last phase of their lives, remarked on the Duke's total devotion, the way his eyes would follow her around a room and take on a deep sadness when she was not there."
He was totally in her grip. Another account comes from a dinner party in France where the Duke was talking to a female guest about a new golf course in Cannes: "Suddenly, in front of 40 people, the Duchess yelled across the table: 'Oh do stop talking nonsense, David. You know nothing whatever about golf courses'.
"She found with him that the worse she behaved, he seemed to need her more and wanted to respond to that bad behaviour and give her things, so she played up to the bad side with him," reflects Sebba. "She knew there was no way he was ever going to leave her, so she could behave as badly as she liked and he would come running back to her like a puppy."
While Sebba says the more she learned about the Duke, who died in 1972, "any feelings of respect vanished". But she does salute one aspect of the Duchess' character.
"The usual phrase is 'be careful what you wish for'," she says. "She took on that burden and if you want to find her admirable, that's where you'll find it. She lived with the consequences of taking on this man. The 15 letters from Wallis to Ernest show that it was a real burden and she never expected to live with [David] as man and wife.
"In the end she got the worst of all possible worlds - she got the man but she got him under circumstances that nobody would have wanted - exiled, European cafe society, just wandering around from one table to another, a vacuous, empty life. But she stuck with him and that's a sort of southern nobility. She stood by her man."
The former Mrs Wallis Simpson died in 1986, aged 90, after a decade of living virtually alone in Paris. "She has had an afterlife," concludes Sebba. "People can't let go. Some people see them as evil but I see them as weak, vulnerable, manipulated as well as manipulators. I think it's fascinating to see how many people use them in fiction, because they cannot believe that this story could be true: is this what really happened?"
That Woman (Weidenfeld & Nicolson $39.99) is out now.
