On 26 May 1911 [his wife] Sybil Cholmondeley (age 39) died two weeks after falling out of a window at home at 5 Wilton Place Belgravia and suffering severe injuries. At an inquest, the coroner found that the fall was purely accidental.

The Advertiser (Adelaide, SA: 1889 - 1931). 12 Jul 1911

AN, AWFUL FALL.

A terrible fate befell the only sister (age 39) of [his brother-in-law] Lord Delamere (age 41), as disclosed at the inquest at Westminster, London. Mrs. Sybil Burnaby, according to the tragic story, had been kneeling at an open, window on a settle which ran upon castors and wishing to know the time, stood on the settle and reached forward to see the clock of St. Paul's Church. The leafage of the trees obstructed her view, and is she leaned further the settle ran from under her, and she fell. A nurse, who had been standing, a yard or two away, managed to seize her dress as she fell through the window, and Mrs. Burnaby turned and grasped the wooden window frame. The nurse, retaining a frenzied hold of the dress with both bands, screamed for aid. Mrs. Barnaby's maid rushed in; she also reached through the window and caught at the dress, her mistress imploring them, "Don't let me go!'' For a moment or two they held her so, when suddenly time silk material of the dress ripped and tore in their hands. Mrs. Burnaby's fingers were wrenched from the window-sill, and she fell from the bedroom window to the area beneath. Suffering from terrible fractures, she was still conscious when admitted to the hospital. Captain Edward Seymour stated that Mrs. Burnaby, who was his cousin, was 39 years of age. He was the executor of her will. She had been married to Colonel Algernon Edwyn Burnaby (age 43), formerly of the Royal Horse Guards, but she obtained a divorce from him in 1892 [Note. A mistake for 1902]. Since then she had lived chiefly in Wilton-place. She had no trouble in her affairs, and, to the best of his belief, she had got over the trouble of the divorce from her husband. She was a person of calm and quiet disposition. The nurse, Katherine Cleghorn, said the accident happened about 7 in the; morning, when Mrs. Burnaby came into the witness bedroom as usual. She was partly dressed I and looking quite bright and cheerful. The surgeon at St. George's Hospital said Mrs. Burnaby's injuries were a compound compressed comminuted fracture of the frontal bone and fracture of both thighs. She was not unconscious, but he did not ask her any questions. The Coroner said there was no doubt that Mrs. Barnaby's death was purely accidental. A verdict accordingly was returned.