It was the weirdest of love triangles – a king's brother, desperately in love with a married woman. His wife doing her best to befriend the mistress, writing what amounted to love-letters to her. The mistress knocking on her prince's bedroom door while his wife slept in an adjoining room. Sex, back in the Edwardian era, was done differently. Hiding behind a bulbous moustache and looking pompous and old before his time, Prince Arthur, the Duke of Connaught, looked as strait-laced as you'd expect the favourite son of Queen Victoria to be. Far from it. He hid his passion for women so that – even a century later – it's impossible to know exactly what he got up to when left alone in bedrooms, drawing-rooms, on board ships and in darkened corners. The key to Arthur's colossal passion lay in hundreds of letters he wrote to his mistress Leonie, Lady Leslie – letters which, when he died, were urgently ordered to be destroyed by King Charles's grandfather, George VI. Though apparently happily married to a German princess, Louise Margaret of Prussia, it was Leonie who gripped him. Bizarrely, Leonie equally forced her worldly charm on the duchess. 'For decades Leonie ruled the Duchess, and ran the Duke,' wrote her granddaughter Anita Leslie. 'He thought of her by day, and dreamt of her by night,' wrote Arthur's biographer. And Arthur's wife, known as Louischen, seemed just as smitten - 'This was an unusual relationship because the Duchess joined in it to the full, and was quite as enchanted by Leonie as was Prince Arthur.' Arthur and Leonie were introduced at a party in Ireland given by Lord Rossmore at a time when, after 20 years of marriage, Louischen had become bad-tempered, introspective, and unwell. It took no more than a minute for him to fall for her charms. Leonie Jerome was a dazzling, outspoken American heiress married to Jack Leslie, heir to Castle Leslie in County Monaghan, Ireland. Her sister Jenny Jerome was married to aristocratic politician Lord Randolph Churchill and was the mother of Winston Churchill. Though nine years Arthur's junior, Leonie became a mother-figure to a prince who was nervy and prone to depression. 'As an American she was untarnished by the staleness of British etiquette,' wrote biographer Noble Frankland. 'She was gifted and amusing, and married to a husband who could scarcely be described as anything more than ordinary.' The relationship hotted up quickly, and though Arthur continually protested it was 'pure', that was because he was doing his best not to be compared with his older brother with his scores of mistresses and concubines. 'He relied on her for the advice and encouragement,' wrote biographer Noble Frankland, 'and the Duchess too was increasingly depending on Leonie for advice and friendship'. 'In fact it was the Duchess who made the relationship between Prince Arthur and Leonie into a triangle of intimate friendship embracing all three.' That's putting it diplomatically. Arthur had the hots for Leonie, and his duchess was clinging on to her marriage for dear life. Desperately, she wrote to Leonie admiring 'your kindness, unselfishness, and goodness – and your power of self-denial which makes the foundation of all that is good and true.' At times the tone of Louise's letters to Leonie were almost pleading - and at one stage, when Leonie felt she was in too deep and wanted to withdraw from this messy ménage à trois, the duchess pleaded both on her behalf and that of her husband that Leonie would not 'fold up her tent' and go away. Guiltily, Leonie reached out to the duchess to such an extent that Arthur began to believe that 'you love my wife more than u love me!' The king - Bertie – adored hearing about this love-tangle, and joked that when the trio went travelling it was 'only right that Arthur should have two strings to his bow'. To which the Duke snapped back that those who lived in glass houses shouldn't throw stones – His Majesty had, after all, had an affair with Leonie's sister, Jenny. Arthur was an important royal who took his position seriously. The third son of Queen Victoria, he moved up the royal pecking order when his older brother Affie inherited the dukedom of Saxe-Coburg and Gotha and moved to Germany. To demonstrate how significant he was in the Edwardian era, his homes included Clarence House – now occupied by King Charles and Queen Camilla – and Bagshot Park, the sprawling estate near Windsor which is currently home to Edward and Sophie, the Duke and Duchess of Edinburgh. Soon he was sent by Bertie to represent the realm in India at a jewel-bespattered Durbah. The journey by the ship HMS Renown would be long and arduous, and meant Arthur would be parted from his beloved Leonie for six months. So, he took care of that by appointing Leonie as his wife's lady-in-waiting, and her complaisant husband Jack Leslie as his aide-de-camp. If Jack knew what was going on between his boss and his wife, he certainly never let it show. Later Arthur would spend hours going over the Indian trip - 'the highlight of my life' with his lover. He recalled Leonie's 'three soft little taps on my door' at night as his wife was asleep next door. But all too soon their private honeymoon was over and Leonie returned to her husband's vast estates in Ireland. She wondered whether she would see her 'Bon Ami' again. She did, but after the death of the Duchess of Connaught at the age of 56, the relationship altered. Arthur retired to the South of France, and there succumbed to his 'tendency to fall in love', as a friend put it. American heiress Rhoda Doubleday, British socialite Gladys Deacon – later Duchess of Marlborough – and Canadian Ethel McGibbon came to keep the Duke company. Arthur confessed to Leonie that he wanted to marry McGibbon – and despite the passing of the years, Leonie was jealous. Their affair was over, though they continued to correspond. The loving couple were to die within a year of each other – Arthur in 1942, Leonie in 1943 – but the true intimacies between the two lovers were never to be revealed. In the height of the Second World War, King George VI took time out and ordered their love-letters be destroyed. Arthur's daughter, Lady Patricia Ramsay, duly obliged, and word was sent out to Leonie's son, writer Shane Leslie, that he should do the same with his mother's letters from the duke. And so the intimate details of the weirdest love-triangle in royal history were hushed - forever.