- According to author William J. Mann, she was living with (and romantically involved with) film comedienne Patsy Kelly in Hollywood during the 1930s. Cox and Kelly ended their relationship after the former moved to New York.
- Never been Married.
- She was one of 38 nominees who competed to be a WAMPAS Baby Star for 1934, but was ultimately not selected to be one of the thirteen Baby Stars for that year.
- Began her show business career as a dancer in New York before moving to Hollywood in 1934.
- According to columnist Harrison Carroll, Cox was roommates with comedienne Patsy Kelly and somebody else named Dorothy Justin.
- Louella Parsons reported in 1939 that Cox was due to appear in a Broadway production of Three Blind Mice. Simone Simon was to star and Mary Brian was also in the cast. It's unclear if the project ever actually made it to the stage.
- On January 14, 1934, Cox was involved in an automobile accident when her rental car crashed into another carrying four people. Occupants of both vehicles sustained injuries. Cox told the court that she was trying to avoid debris from recent (new years day) flooding and that the other car had been driving negligently when the vehicles collided on Cahuenga Ave in Los Angeles.
- Throughout the 1940s, she was a headliner at a number of popular New York City nightclubs.
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