Michele Vinieratos posted a 5-under-par 67 to finish alone in third while 2000 winner Lorie Kane, Mi Hyun Kim, Tina Barrett and Michele Redman were tied at 4-under-par 68.
Vinieratos jumped out to the early lead with seven birdies and two bogeys, but McKay soon took control thanks to a tremendous start on the back side at Tartan Fields Golf Club.
McKay drained a 20-footer for birdie at the 11th and birdied the 12th after she hit a sand wedge to 10 feet. At the par-5 13th, McKay reached the green in two with a 3-wood and ran home a 10-foot putt for eagle.
She continued her barrage at the 14th with a birdie to move to 5-under over her first five holes.
At the par-5 second, her 11th hole of the round, McKay hit her second shot short of the green and chipped onto the putting surface for birdie and the outright lead. She added to her advantage with a birdie at the par-3 ninth to complete a bogey-free round.
'I'm drained,' said McKay, who finished tied for ninth at this event last year. 'It's exhausting out there. The heat and humidity really takes it out of you. But I'm ecstatic with the way I played. I struck the ball really well and managed to make some putts, so I'm delighted.'
Jones also played the back nine first and picked up back-to-back birdies from the 12th to quickly move to 2-under. Jones added a birdie at the 16th and hit a 6-iron to 12 feet for birdie at the 17th.
The 42-year-old picked up birdies at four and five before her only mistake of the round at the par-3 sixth. Jones hit her tee shot to the back of the green and three-putted from 45 feet for bogey.
Jones responded well, however, with a birdie at the par-5 ninth to finish one shot off the lead.
'All of a sudden I got here this week and got really sick,' said Jones. 'I was feeling really bad yesterday. This cold has kind of knocked me out. But I think I'm on the upswing now.'
Vinieratos, who tied for 41st at last year's LPGA Final Qualifying School to earn non-exempt status for 2002, turned 34 today and was treated to her best round on the LPGA Tour.
'I was looking forward to today,' said Vinieratos. 'Kind of happy starting out. Just started hitting fairways, hitting greens. I hit it well. Birdies started falling.'
Minny Yeo, Pat Hurst and 20-year-old amateur Virada Nirapathpongporn finished at 3-under-par 69.
Defending champion Wendy Ward managed a round of even-par 72 to finish seven shots off the pace.
U.S. Women's Open champion Juli Inkster posted an opening-round, 1-over 73.