We have found the Duke and Duchess of Windsor in several American passenger lists in the 1930s through the 1950s. Wallis listed separately in several and the last ones are with her and Edward sailing to the US together. Some list their two dogs and in one they have 60 pieces of luggage. Their staff are apparently listed on a few manifests and on one they have apparently cancelled their trip as their names are crossed off the manifest, but are still legible. We have posted seven different images on our site where they can be viewed.
http://www.rootdig.com/windsors.html