Hello philvn, have you any answers to your search? There are a few of us Davy folk trying to confirm Jonathons parents and origins. Jonathons son Lleyson Davy founded a large family in both New Zealand and Wales. Lleysons first born son (Jonathons grandson) was named "Robert Davy' (died in childhood). I am descended from Lleysons second son Charles Davy.
I have an idea that Jonathons father was named Robert Davy. This is an old family name of the Cornwall Davy line.