Every Days a Holiday (1937) Set in New York City, Mae West is Peaches O'Day, a con artist who befriends Captain Jim McCarey (Edmund Lowe), a cop who must turn her in unless she leaves town. The clever Peaches returns transformed as sultry brunette and Parisian sensation Mademoiselle Fifi. After catching her show, crooked mayoral candidate John Quade (Lloyd Nolan) tries to close it down when Peaches demurely declines his romantic overtures. Captain McCarey jumps in the race for mayor against Quade, and the loyal Peaches fervently campaigns for him. As usual, Mae causes a commotion as she deftly maneuvers her way through a battle between the good and the corrupt.