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Her godmother and namesake was Consuelo Vanderbilt, Duchess of Marlborough. Sheridan was educated by governesses at home in Sussex and at a family property in Inishannon, County Cork, before briefly attending a Paris convent school and a German finishing school.
She was a debutante at the age of seventeen but turned away from that social scene to attempt to write novels. She was encouraged in this by family friends who included both Henry James and Rudyard Kipling.