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I know it's a long time since you posted this request, but I have some useful information for you on this family.  My ancestor Edward Clay married Ann Fairchild, a widow, on 19 November 1804 at Thornhaugh, Northamptonshire after having had at least 4 "base born" with her.  Mary, Eilzabeth and Edward were registered in Oakham as listed in this forum, but we found an Ann Clay registered as the daughter of Ann Clay christened 20 November 1798 in Braunston Rutland.  This is the only Ann daughter of Edward and/or Ann Clay that we can find.  Mary is my ancestor and married John Jackson.  Elizabeth married Joseph Langston, but I don't know if Ann ever married.  Certainly she was single in 1831 when her father Edward died.  I have a copy and transcript of Edward's will if you would like a copy.  Ann Fairchild's maiden name according to my notes - which I haven't looked at for years - was Ann Casterton, although it seems to have been mistranscribed on the IGI entry for her first marriage as "Curston".  She firstly married William Fairchild on 23 November 1790 at Ashwell, Rutland.  Hope this helps.