Kelly was born in Jamaica to a planter and merchant who became provost marshal of Jamaica. His play ‘The Islanders, or, Mad Orphan’ reflects Kelly's unsuccessful efforts to retrieve his estate from a group of London merchants alleged to have conspired with his father's West Indian executors (including Beckford himself) to defraud him of £30,000. He returned to Jamaica for a time and was fruitlessly embroiled in chancery proceedings until 1718. Thereafter his finances were permanently rocky, and he spent at least two periods in the Fleet, once in 1727–8, and again in 1738–9. He wrote inflammatory political tracts against Walpole and his admin, and his writing in the seditious newspaper Fog's Weekly Journal led to his arrest. His abject plea ‘that he had no design to give Offence to the Government in the said paper, but only to procure Subsistence for himself and family … being by reiterated misfortunes reduced to write for his Daily bread’ (TNA: PRO, SP 36/41, 133) seems to have helped him to avoid the severe punishment inflicted on other opposition agitators at the time. He mostly did playwriting for a living, but he also wrote political tracts and some satirical verse.