Dillon became the third husband of the Music Hall star Marie Lloyd. They met in 1910 and caused a scandal when, travelling together as "Mr. and Mrs. Dillon" in 1913, she was refused entry to the United States for "moral turpitude". Alexander Hurley, Lloyd's true husband at the time, died two months later, and Dillon and Lloyd were married at the British Consulate in Portland, Oregon, on 21 February 1914. He was portrayed by actor Tom Payne in the 2007 BBC drama Miss Marie Lloyd - Queen of The Music Hall.