Lia, I agree with you about Mrs Clay's past suggesting something of an unspecified, potentially unsavory nature.

On the other hand, Sir Walter is such a stickler for rank and connections that even though Mrs Clay is Mr Shepherd's daughter, I wouldn't put it past Sir Walter to cut her if he felt any doubt or anxiety about her suitability as a compansion for Elizabeth. I hasten to add that I'm not referring to Mrs Clay's person or nature, but who she is - who her family is, where she comes from, that kind of thing. :-)