I'm not sure I have a really good answer for this question--at least not one that doesn't sound sexist!
Perhaps Thomas Cockey's marriage Elizabeth Hammond Moss was one of convenience or a match made for other reasons: her father (John Hammond) was a a Major General of the Maryland Militia, a significant early American writer (his pamphlet 'Leah and Rachel' was one of the first political writings in the Colonies), he is buried at St. Ann's in the Circle in Annapolis, right next to the front door (though I believe it was a reburial from a family graveyard). In other words, a big-deal kind of guy. Her mother was one of the daughter's of Matthew Howard, reported to be descended from Kings & Queen's of England & brother to Lady Anne Arundel, wife of Cecil Calvert, 2nd Lord Baltimore.
All in all, Elizabeth was probably a good political, social and financial catch for Thomas.
Penelope Deye was significantly younger and reportedly from a high-born family in England (even though she showed up femme-solo in Maryland, highly unusual for that time). She was probably far more interesting than his wife. Here's the sexist part: this happens all the time now and apparently then as well--older, rich guy leaves wife for younger, sexier woman; has new family. I think it was odd that he did not legitimize his children with Penelope Deye considering their relationship clearly was public and he left practically everything to them.
Widow Cockey did sue and did win her 1/3 dower rights -- she however died before receiving them and her share of Thomas Cockey's estate went to their daughter Ann Cockey Hammond.
For me the amusing part of it all is that Cockeysville, to my understanding, is named for Thomas Cockey Deye, the illegitimate son and was primarily populated by the descendants of his sister Charcilla C.D. Cockey and her husband Joshua Frederick Cockey, son of John (brother of Thomas Cockey).