In the colloq. phr. the real McCoy (or Mackay, McKie): the ‘genuine article’, the real thing.the OED (the real McCoy) says "Its origin remains uncertain: see, for example, Amer. Speech (1958) XXXIII. 297 f." speculation abounds. American Speech goes with the boxing story; Mencken, in The American Language, says "its origin is disputed. One current etymology connects it with Bill McCoy, an eminent rum-runner in the heyday or Rum Row. Another holds that it comes from the name of Kid McCoy, welter-weight chmapion of the world, 1898-1900...."
http://www.cutwater.com/Woodies/Rum/rumruner.htminteresting though it is, OED citations predate the Rum Row story and, perhaps, Kid McCoy.
1883 R. L. Stevenson Lett. to C. Baxter (1956) 123 For society, there isnae sae muckle; but there's myself—the auld Johnstone, ye ken—he's the real Mackay, whatever. 1922 Collier's 7 Oct. 26/2 'At's the real McCoy you got there, brother!+ Comes right down from Canada! 1930 Amer. Mercury Dec. 456/2 McCoy, genuine liquor. ‘This is McCoy. You can't fake Quebec wrappers.’ so, the McCoy spelling is first cited during Prohibition.
but did RL Stevenson get "Mackay" from somewhere else than just stylin' brogue?