In 1792 Kentucky County, Virginia was made into a state with three counties, one of which was Jefferson. Shelby County was established from land given by Jefferson County and was named for Isaac Shelby, the first Governor of Kentucky. Kentuckians generally were of English stock because it was Virginia Anglicans who made their way to the Cumberland Gap through which most of the Kentucky stations' settlers came.
Source: Painted Stone History at Stump Bluff Militia and The History of Shelby County, Kentucky by George L. Willis, Sr. pub 1929.
Henry, Franklin, Anderson, Spencer, Jefferson and Oldham counties.