There sees to be a lot of uncertainty about all this, much of which can be traced back to Capt. Roger Mallory having a son with the same name *and* title (Captain Roger Mallory, II).
These Mallorys came from an old and well-connected Yorkshire family that was a cadet branch of an even older and better-connected Leicestershire family. (Both branches sprouted possible candidate for authorship of the Morte d'Arthur but neither one met *all* the criteria - the man who did, Sir Thomas Malory, of Newbold Revel, was from a third, possibly unrelated family.)
They are *not* related in the male line to Peter Mallory of New Haven. (It is possible, but unprovable, that Sir Thomas Malory was.)