E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
Gay (g hard).
Gay as the kings candle. A French phrase, alluding to an ancient custom observed on the 6th of January, called the Eve or Vigil of the Kings, when a candle of divers colours was burnt. The expression is used to denote a woman who is more showily dressed than is consistent with good taste.