Few were even aware of the Caledonian link of the 19-year-old Middlesex prospect before his recent call into the Saltires squad. Born in Aberdeen, where his father worked in the oil industry, he left for Suffolk before his first birthday. "I've only been back once since," he confirms. "I was in Edinburgh two years ago on a rugby tour with my school." They lost. Not such a happy homecoming.
Yet the genuine potential for a second excursion to the city has undoubted appeal. Although the newcomer is set to make his debut in Tuesday's one-day international against the Netherlands, he knows only too well what a solid performance might bring. Next Saturday, England come calling to The Grange. Davey's loyalties would be turned completely on their head.
"It's on my mind," admits the promising all-rounder, who made his Middlesex debut in April in the Pro40. "It would be brilliant to play and do well against England. Growing up I wanted to play for England and I still do. I never thought I'd play against them. It's a bit weird."
It was only by chance that the opportunity of an international summons arrived much sooner than he ever imagined. Signing new terms at Lord's after impressing in the Second XI last summer, his paperwork passed the desk of Angus Fraser, Middlesex's director of cricket. "'Why didn't you tell us that you were born in Scotland?" queried the ex-England bowler.
"I didn't think it meant anything because I'd lived in England for 15 years," Davey concedes. "It all came through him seeing that."
When he joins up with Scotland tomorrow in Rotterdam, it will be a quick process of acquaintance. Not so, however, if he takes the field for the second-ever Auld Enemy encounter; his Middlesex team-mates Andrew Strauss and Eoin Morgan are both in the 13-man squad named for the trip to Edinburgh and the forthcoming NatWest Series against Australia.
Strauss finds himself under unfamiliar scrutiny. While his skills as both captain and obstinate opener at Test level remain beyond reproach, the debate rages on over his value in the shorter forms of the game. Should he still top the order or is there a case to be made for him to drop further down? Against Scotland, he is still likely to open in tandem with Craig Kieswetter, who makes a first appearance in the city of his mother's birth. Planning ahead for the Aussies, and then onwards to the World Cup, England need signs that Strauss can adapt.
"I don't see why not," Davey declares. "He's a fantastic player. He can play one-day cricket. I don't know what the selectors think but he did great for us." Playing alongside the England captain for Middlesex at the start of the summer proved wholly instructive. "It was good experience because you don't get to see him up close much because he's away a lot. He's just so relaxed and laid back but he tries to help out as much as he can."
By contrast, the swashbuckling Morgan has few sceptics. The Dubliner has always savoured his encounters with Scotland, ever since he scored 99 on his international debut at Ayr four years ago. "Eoin's one of a kind," says Davey. "I'm a bit more orthodox but you watch and learn from the way he goes about things."
He will take lessons where he can. The education process is far from over. The trip to the Netherlands, he concedes, "is just a step". Should Gordon Drummond's men triumph, Davey will immediately have to get to grips with one team tradition: singing Flower of Scotland. "I don't know any of the words," he reveals. "I probably should learn them, shouldn't I?"