Pegeen Jezebel Margaret Vail was born on August 18, 1925, in Ouchy, Switzerland, the daughter of Peggy Guggenheim and artist Laurence Vail. She spent her childhood with her family in France, attending a bilingual school in Neully. When her parents separated, she followed her mother to Paris and then, at the beginning of the 1930s, to Wales. She showed a particular talent for art and was encouraged by her meetings with the artists who exhibited at Guggenheim Jeune, the London gallery belonging to her mother. In the summer of 1938, aged twelve, she exchanged work with the Surrealist painter Yves Tanguy. In the autumn of that year, she took part in the Exhibition of Paintings and Drawings by Children show, curated by Guggenheim for the launch of the gallery’s second season.

Back in France in 1940, she attended a school for expatriates outside Paris and the following year she moved to New York where she enrolled in the Lenox School, annexed to the prestigious Finch Junior College. Meanwhile she continued to paint, participating in the Exhibition by 31 Women, held at her mother’s New York museum-gallery Art of This Century in 1943. Following a trip to Mexico that summer, she returned to New York, where she gave up her studies and began a relationship with the artist Jean Hélion, whom she later married. In 1945, she participated in a second show held at Art of This Century devoted to women artist, entitled The Women. The following year she had her first solo exhibition at the same gallery, showing oil paintings, drawings, and gouaches that depicted scenes populated with doll-like figures, rendered in a naïf style.

In the mid-1950s she moved to her mother’s Venetian palace and set up her studio in the basement. In 1957 she accompanied her to London for the opening of one of Francis Bacon’s shows at the Hanover Gallery, where she met artist Ralph Rumney. She married Rumney the following year and together they moved first to the Île Saint-Louis in Paris and then to Venice. At the beginning of the 1960s she met Egidio Costantini, who "translated" her drawings into glass sculptures and, in the winter of 1966, she held several exhibitions in Canada, Stockholm, and Philadelphia. She died in Paris on March 1, 1967.