Lady Katerine Coke was presumabley an attendent to the duchess of york in the 19 hundreds. She attended the duchess and the Kings court and may have been thought to be a mistress.
And indeed she may very well have been, thought not the most famous. King Edward VII was a womanizer and many books have been written about him and his women. The most famous, and the ones given the title of "official mistressess" are: Lillie Langtry, Daisy Brooke, and Alice Keppel.
There is one reference in an article about King George's family where his son the Prince (known as King Edward VII). (King Edward was a name that was taken at assending to the crown), was too much in the company of married women, including Lady Coke...
"...But what most haunted...the Prince's refusal to marry, being instead constantly linked to married women, like Lady Coke or Mrs. William Dudley Wrad..."
http://www.geocities.com/jesusib/GeorgeV-3.html
There is a book for sale on amazon that talks about his three offical mistresses and others.
http://www.amazon.com/gp/product/B00071SD7E/002-0250177-2827232?v=glance&n=283155
And then from this source we have the following excerpt:
" Edward (who preferred to be called David) was given ceremonial duties to fulfill but not responsibilities. He became increasingly unhappy and discontented in this 'waiting' role, and looked for amusements. The 'fast life' of the Twenties appealed to this very modern young man who began attending nightclubs where he enjoyed American jazz and cigarettes. He also preferred American women to English ones, calling them 'snappy'. Like his great-nephew, Prince Charles, he found older, married women attractive. Perhaps he was looking for a 'mother-figure' because he had such a distant and reserved mother. He started seeing Lady Coke who was 12 years older."
http://www.suite101.com/article.cfm/british_social_history/89076
C&onsultant
Master's Degree candidate waiting on research paper; BS Uni S. Colorado, summa cum laude; AA Degree