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Diana, Goddess of the Hunt for Ancestors!
 
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Alleged Descent from Ingelram DE LIONS to the Queen Mum
In the lineage below, the early generations are shown in white and were taken from these two sources:
A.B. Lyon & G.W.A. Lyon, eds.  1905.  Lyon Memorial:  Massachusetts Families.  Wm. Graham Printing Co., Detroit, MI. 
The editor asserts this pedigree is "confirmed by research in England by the compilers"; however, as they include no documentation, their work must be considered unproven.  Whether their work was mere self-deception or deliberate, we'll never know, but I'm inclinced to believe the former.  Untrained researchers tend to have a low threshold for proof, and it's all too easy to accept something you want to believe.  We need to appreciate what a different cultural milieu they lived in.  In their day, the pressure to have illustrious ancestors was immense.
June Cioppettini, Lynda McGinnis, & Betty Cogliati, eds.  1999.  Henry Lyon of MA, CT, & NJ, and Some of His Lineage.  Lyon(s) Family Association of America, Belton, MO.
The connections here were innocently copied from Lyon & Lyon (1905) on the naive assumption that, having long been accepted, they must have been correct and I know it was naive innocence because one of the editors was my aunt, Betty Ann (Matthiesen) Cogliati.  She had believed the above source all her life and would never, in a million years, have deliberately deceived anyone.  If someone had published a book on your ancestry, you simply assumed it must be true.  We need to appreciate how difficult it was to do genealogy before the advent of the internet and other aids to swift communication her years of work on Lyon genealogy were done the hard way, via letters.  My one consolation in her passing is that she didn't live to see her beliefs in her allegedly royal Lyon ancestry overturned, and I feel guilty debunking it, even now. 
The generations tinted in purple are well known and supported by numerous sources, as one would expect of a royal pedigree.  My principal source was the:
Directory of Royal Genealogical Data  by Brian C. Tompsett.
As for the connection of Richard, Thomas, and Henry LYON to the royal BOWES-LYONs, there exists just one secondary source, without documentation. No evidence has been found even proving that these three are brothers, much less identifying their parents.  No evidence has been found that John LYON & Euphemia GLEDSTANES even had children John appears to have died without issue making the connection in Burke bogus.
Sir John Bernard Burke.  1939.  Genealogical and Heraldic History of the Landed Gentry.  16th ed.  Burke's Peerage, London (American section reprinted 1996 as Burke's American Families with British Ancestry.  Genealogical Publ. Co., Baltimore, MD), p. 2572.
UPDATE (30 May 2010):  Y-DNA testing has shown that descendants of Richard, Henry, and William of Roxbury are closely related, while a descendant of Thomas is not.
In Summary

The connection of the New England LYONS Thomas of Rye, Richard of Fairfield, and Henry of Newark to the royal ones is fabricated mythology.  The connection never was proven and, based on what is known, was never even likely to have been true.

DNA testing has shown Richard and Henry are closely related to each other and to William of Roxbury, meaning their geographic origin is probably the same as William's, that is, in Middlesex, England, not Scotland.

Thomas is not related to them, and his one DNA connection is with an allegedly French LYON (more work needs to be done to prove his match really did originate in France).  In any case, he's not related to the other three.

Ingleram DE LIONS (c1010s-)
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Sir Roger DE LEONNE (1040-)
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Sir Paganus DE LEONNE/LEONIBUS (c1080-)
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Hugo DE LEONIBUS (1120-)
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Ernald DE LEONIBUS (1150-)
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John DE LEONIBUS/LYON (1175-)
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Pagan DE LEONIBUS/LEON (c1200-) = Ivette DE FERRERS (c1205-)
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Sir John DE LYOUN (1225-1316) = Margery DE ACKLE
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Baron John DE LYON (1250-)
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Sir John DE LYON (1290-), Baron of Forteviot, Forgandenny, and Drumgawan
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Sir John LYON (1320-1382), Knight, Chamberlain of Scotland =
Lady Jean STUART (c1350-), d/o Richard II, King of Scotland 
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Sir John LYON (c1380-c1435), Knight =
Elizabeth GRAHAM (c1400-1435), g-gd/o Richard II, of Scotland 
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Patrick LYON (-1459), 1st Baron Glamis = Isabella OGILVY (-1484)
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John LYON (-1497), 3rd Lord Glamis = Elizabeth SCRIMGEOUR
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John LYON (-1500), 4th Lord Glamis =
Elizabeth GRAY (-1526), ggg-gd/o Richard III, King of Scotland 
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John LYON (c1491-1528), 6th Lord Glamis =
Janet DOUGLAS (1498-1537), gggg-gd/o Richard III, King of Scotland 
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John LYON (1521-1558), 7th Lord Glamis =
Janet KEITH, gg-gd/o James I, King of Scotland 
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Sir Thomas LYON (1550-1607/8), Knight, Treasurer of Scotland =
Euphemia DOUGLAS
desc./o Robert I, King of Scotland
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John LYON (1544-1578), 8th Lord Glamis, Chancellor of Scotland =
Elizabeth ABERNETHY
desc./o Robert I and James I
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John LYON (c1587-), of Auldbar, Forfarshire =
Euphemia GLEDSTANES
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All evidence indicates this couple had no children, so
THIS CONNECTION IS FABRICATED
Patrick LYON (1575-1615), 1st Earl of Kinghorn =
Anne MURRAY (-1618)
d/o the Earl of Tullibardine, 
mistress of James V, King of Scotland
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Richard LYON (1610s/20s-1678), of Fairfield
Thomas LYON (1621-1690), of Rye
Henry LYON (1623-1708), of Newark
Richard and Henry are genetically related, but are not necessarily brothers.
Thomas is not genetically related to Richard or Henry.
John LYON (1596-1646),
2nd Earl of Kinghorn =
Elizabeth MAULE
d/o the Earl of Panmure
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  Patrick LYON (1643-1695),
1st Earl of Strathmore =
Helen MIDDLETON (-1708)
d/o the Earl of Middlton
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  John LYON (1663-1712),
2nd Earl of Strathmore =
Elizabeth STANHOPE (1663-1723)
ggd/o Edward I, King of England
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  Thomas LYON (1704-1753),
7th/8th Earl of Strathmore =
Jean NICHOLSON (1713-1778)
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  John LYON (1737-1776),
9th Earl of Strathmore =
Mary Eleanor BOWES (1749-1800)
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  Thomas LYON-BOWES (1773-1846),
11th Earl of Strathmore =
Mary Elizabeth CARPENTER (1783-1811)
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  Thomas George BOWES-LYON (1801-1834), Lord Glamis =
Charlotte GRINSTEAD (1797-1881)
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  Claude BOWES-LYON (1824-1904),
13th Earl of Strathmore =
Frances Dora SMITH (1832-1922)
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  Claude George BOWES-LYON (1855-1944),
K.G., K.T., 14th Earl of Strathmore =
Cecilia Nina CAVENDISH-BENTINCK (1862-1938)
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  George VI (1895-1952), King of Britain =
Elizabeth Angela Marguerite BOWES-LYON (1900-2002),
Queen Mother of Britain

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