Dorothy Percy

We have a record of two of Hugh Percy's natural daughters as they were buried near the family vault at Westminster Abbey. ‘Two of Hugh's illegitimate daughters, Philadelphia and Dorothy, were buried in the south transept of the Abbey’

https://www.westminster-abbey.org/abbey-commemorations/commemoratio...

Philadelphia (1770 - 6th Nov 1791) had a sister Dorothy (died 24th Nov 1794). It is to be noted that Hugh Percy’s mother was Philadelphia so he must have had a part in naming his daughter, showing that it wasn’t just a casual affair. The Gentleman's Magazine (1794, p.1060) in talking about Dorothy says ‘she died at Brompton, in consequence of grief for the loss of her elder sister and speaks very warmly of the character of the two sisters, and the devotion of their father to their interests. They were not, however, named in his will.’

The duke had also two natural daughters, who, as well as his legitimate children, were buried in Westminster Abbey, and an illegitimate son, known as James Smithson [q. v.], who founded the Smithsonian Institution at Washington.

https://en.wikisource.org/wiki/Dictionary_of_National_Biography,_1885-1900/Percy,_Hugh_(1715-1786)