Kay Jessen has a unique relationship with Cheyenne Frontier Days. After her
husband Jerry "volunteered" her to make Italian meatball sandwiches for the Security Committee in the early 1980s, she became involved in several
major CFD "Firsts" - the first Cheyenne Frontier Days Western Art Show & Sale,
the Wyoming Centennial Celebration and the 100th Annual Celebration of
Cheyenne Frontier Days.
In 1981, the first CFD Western Art Show and Sale was held to raise funds for the CFD Old West Museum, net profit was less than $5,000.

In 1984, TV Jones called to see if Kay would chair art show sales. Sales climbed and a volunteer network flourished. Between 1981 and 2014, the show forwarded nearly three million dollars to the CFD Old West Museum.

In 1987, planning for Wyoming's Centennial had begun. Dan Ostermiller, a Loveland artist who grew up in Cheyenne, notified the Art Show Committee that his sculpture, "Buffalo," would be part of the show. Several attempts to obtain funding to sell "Buffalo" failed. On opening night one of the salespeople suggested trying to secure forty five donors at $1,000 each. Half an hour later, forty five donors agreed to contribute $1,000 to benefit the museum and donate the sculpture to the
state in honor ofWyoming's Centennial. "Buffalo" was dedicated on the east side of
the Capitol building March, 1988.

In 1992, Terry Bridwell, chair of the CFD 100th Celebration, asked Kay to be in charge of recognizing 100 years of CFD Volunteerism. The 100th Committee agreed a bronze by Herb Mignery would be located on the park. Kay led funding efforts for the bronze which raised $470,000. Net proceeds were split between the CFD Old West Museum and the CFD Scholarship Foundation. The statue was dedicated in 1996. A time capsule to be opened at CFD’s 150th celebration was placed nearby. She developed an Artist's Career Development Seminar which continues today. Kay led the organizing and publication effort for the official CFD cookbook. The "many ladies in charge tested, tasted and rated 3,000 recipes, eventually selecting 600 for the book. Net profits totaling more than the $100,000 goal were donated to the CFD Memorial Scholarship Foundation. The book is currently in its third printing. Kay also led the campaign to recognize committee wives' support and to have them photographed with their husbands.

Kay helped organize the Grand Ball to usher in the second century of Cheyenne Frontier Days. New Year's Eve 1995, the Exhibition Hall filled with approximately 1,000 people, celebrated the beginning of a new era of Cheyenne Frontier Days with fine food, dancing, spirit(s) and a fireworks display
at midnight.