The story of the Duke and Duchess of Windsor is one of the most romantic of all time: Edward VIII abdicated his throne and gave up an empire so that he could marry the woman he loved, American divorcee Wallis Simpson. Very few people suspected, and even fewer actually knew, that the Duchess cuckolded him-and almost gave him up-for a gay playboy twenty years her junior. Blond and slender, Jimmy Donahue was the archetypal post-war playboy. He could...