Emma and Fanny would meet on at least two occasions that winter, at a dinner and at the theater. At the second meeting, Lady Nelson helped an ill Emma out of the theater. “The horrible truth that Emma was in the final stages of pregnancy with Nelson’s child probably dawned on Fanny on that occasion,” says Pieter van der Merwe of the National Maritime Museum. Emma gave birth to Nelson’s daughter, Horatia, in either the last days of January 1801 or the first days of February. In mid-January 1801, Nelson returned to his ship San Josef, which had been ordered to the Baltic. In February, Fanny wrote to Davison: “My Mind has not recovered its natural calmness, nor do I think it ever will. I am now distrustful and fearful of my own shadow.” But in March 1801, Fanny put on a brave front, hoping that next time Nelson came home he would live with her. She wrote to Davison that “I will receive him with joy.”
On April 2, 1801, while attacking the Danes at Copenhagen to try to break up an alliance between Napoleon and the Scandinavian countries, Nelson resorted to another unorthodox action. After the British and Danish fleets had exchanged heavy fire for three hours, the commander of the British ships, Adm. Sir Hyde Parker, raised signal flag number 39, an order to “discontinue the engagement.” Nelson reminded his officers that he had only one good eye and then said, “I have a right to be blind sometimes. I really do not see the signal.” He continued the attack and defeated the Danes. Sir Hyde Parker went home in disgrace.
After his return to England in June 1801, Nelson chose not to see Fanny. By December 1801, his attitude toward her had deteriorated to something approaching caddish incivility. Nelson sent a letter from his wife to Davison, who returned it to Fanny with the terse note: “Opened by mistake by Lord Nelson but not read.”
In August 1805, two months before the Battle of Trafalgar, Nelson spent a few weeks with Emma at Merton, an estate southeast of London that he had bought with the help of a loan from Davison. (Sir William had died in April 1803.) Referring to the Merton idyll, Emma wrote to Davison of “one fortnight of joy and happiness I have had for years of pain. My Beloved Nelson is so delighted with Merton & now he is here—tis a paradize.”
After Nelson’s death in October, Emma began a slow, painful slide into penury. Her husband had left her 800 pounds a year in his will—not enough to maintain Merton and pay for its elaborate grounds. (For his part, Nelson left her Merton and 500 pounds a year.) Nelson also had asked the government to provide for Emma; the story goes that the Prince of Wales was inclined to grant the request until he stumbled across some papers in which Nelson had ridiculed him. Emma never received a penny from the Crown.