Coralee "Coco" Burson Davis was born in 1921 in Eagle Rock, California, and was raised in Pasadena, California. She graduated high school in 1939 and went to work at Lockheed Aircraft while also performing in shows at the Pasadena Playhouse.
Davis joined the Coast Guard Women's Reserve, or SPARs [from “Sempar Paratus—Always Ready”] in fall 1942 and was sent to Hunter College, New York, in February 1943 for boot camp. She was then sent to U.S. Coast Guard Headquarters in Washington, where she did clerical work for its transportation department. She also began giving recruitment speeches to local women’s groups and doing interviews on a radio show. Davis was then cast in the Coast Guard revue Tars and Spars and was sent to Palm Beach, Florida, for rehearsal. She toured the country with the show until 1945. She was then cast in the movie of the same name, and spent the summer of 1945 filming in Hollywood. In the November 1945 she participated in another version of the revue, organized to sell victory bonds in Pennsylvania. Davis was discharged from the SPARs in March 1946, following the completion of her publicity activities for the movie's release in New York.
Following her discharge, Davis traveled between New York City and Pasadena, primarily acting and modeling. She married Walter Rathbun in spring of 1948, and the two worked in a summer theatre group in California. When her husband died of Hodgkin’s disease in 1952, Davis moved back to New York. In 1954, she moved to San Juan, Puerto Rico, where she met and married Horace Davis in 1956. He was later reassigned to Washington, DC, where they lived for four years until settling in Charlottesville, Virginia, in 1963, and opening a travel agency.