As you say, the Ethel Conington born in 1906 Stamford didn't marry. Or die young. Or die old.
There's no obvious outbound passenger record for her either (in case she was sent as a Home Child to Canada or Australia, for instance).
She looks to me, too, like a good bet for your person.
Does anyone remember the date of your friend's Dorothea's birthday? A living child who would know when it was, or a family birthday book, or anything? To check against the birthdate on Ethel Conington's birth certificate, but I guess if anyone knew, that would have been done. (You seem to have that birth cert but didn't mention the birthdate.)
The tale of her mother dying in chldbirth -- to prevent her asking questions, I would imagine. It sounds like she was adopted (informally, at that time) within the family, after her mother had a baby without being married. Not uncommon. -- If that is what happened and it wasn't just a story to explain her surname. The story about her father could be true, as it seems a little harsh to invent just to avert curiosity. But if he had been a married man, for example, questions could have been problematic, and a tale for why we don't talk of him might have been needed. There are other less pleasant possibilities; young women were abused and assaulted then as they are today, and childbirth wasn't a choice then.
That was a time when young women did change their first names to be more fancy and modern. My grandfather insisted that my grandmother Lily be Lilian after they married c1920, as Lily was just too common for him (and we didn't know until after my baby sister got Lilian for her middle name in the mid-1960s). A while back, I tracked down someone's grandmother, who married around that time as Kathleen Marion, being born as plain Kate Mary.
No William T Conington ever existed, either. Even the name William Conington is pretty thin on the ground. Did she know her father's name, and he was a William T something? Possibly Clarke? (You haven't said details, understandably, but I'm not seeing a birth with mother Conington in 1935ish.)
Oh, duh. Minnie Conington's husband was
William T Hilliam. (You have to give all the known details!) And yes, he died in Ampthill, although all the Hilliam-Conington births up to 1923 were in Sleaford after Stamford. It does look like Dorothea/Ethel returned to the bosom of her family at some point.
Possibly Dorothea herself told the stories about her parentage, to avoid explanations about her birth. (Two parents who died young, leading to an adoption, are better than two unmarried parents ... but where did that "Clarke" come from??) Minnie and William Hilliam both died in 1955 in Ampthill, for info.
With name-shifters, it is the coincidences such as you have with Dorothea & Ethel that start to build the case. It's what led me to my gr-grfather's real identity: he sprang into existence as an adult and neither he nor the father he named when he married my gr-grmother ever existed before that. But someone with the same given names and birth details and father's given name, and, I eventually figured out, same sister who had adopted the same fake surname, did (although we'd never even known he had a sister). The two with the real surname and father ceased to exist after 1871/1873, and the two with the new name and father emerged with the sister's marriage in 1875 and my gr-grf's 1881 census record and 1883 marriage. What I then went on to find tied in with the one family story I had ever heard that he told in Canada (all his first family in England had died of "a plague", and indeed the real person's first wife and child, brother, and sister's child, and probably others, died of tuberculosis), and the one I only heard after all my sleuthing (that he had deserted from the army in India after 5 years rather than go to Afghanistan, putting it about 1878, and coinciding perfectly with the "other" fellow's (i.e. the first) wife's death in 1873). I will never have proof positive, but I also have not the slightest doubt the two people are one and are him. But like your Dame Anna Neagle tale, I have more doubts about his third story to go with his fake name, of his (real?) father being the younger brother of a particular Viscount.
Dame Anna was Florence Marjorie Robertson born in Essex in 1904 -- her mother was a Neagle, born in Limehouse -- anyway, a fair distance from your folks.
I think you have your girl, but you still have fun left to have with the chase. What will the 1921 census have to tell?!
(A tip -- my long paragraph there notwithstanding -- if you hit the Enter key a couple of times to make some spaces between your thoughts, it's a whole lot easier to read.
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