McKay grew up in Austin, Texas. He started skateboarding as a child, and became a sponsored skateboarder at 14. Inspired by "the father of extreme sports," Evel Knievel, he spent a decade on the road as a professional skateboarder. 

In 2004, he moved to Los Angeles to pursue a career as an actor. He performed in several films, and in 2006, he was cast to portray Layne Staley (Alice in Chains lead singer) in Layne Staley: Get Born Again, a biographical film which was never completed. McKay continued to act, but became more interested in filmmaking, and in 2008 joined his mentor, Hollywood film director and producer, Monte Hellman's production company. In addition to other projects, he worked as Hellman's assistant on the 2010 film Road to Nowhere, in which he also performed. 

McKay was also a consulting producer for Johnny Knoxville’s film Being Evel. He appeared in the documentary I Am Evel Knievel, for which he also provided rare content, and executive-produced feature-length documentary Chasing Evel: The Life of Robbie Knievel, scheduled for release in 2017.

McKay began his collection of memorabilia in 2012. After months of research and a lengthy negotiation, he acquired a set of Evel Knievel's 1974 jump leathers. Soon after, he traveled to Knievel's hometown of Butte, Montana for the annual Evel Knievel Days celebration. "None of his memorabilia was there," McKay said in a 2014 interview. "His ramps were rotting, sitting in the fields, and that really motivated us even more to get his legacy intact."

With the blessing of Knievel's family and widow, Krystal, McKay and friends Robby Hull, Scott Wiley and Marilyn Stemp resurrected Evel Knievel Enterprises and began a worldwide hunt for Knievel memorabilia, which McKay termed "Evel Archaelogy." By 2015, McKay owned a collection on a scale that rivals that of Evel’s son Kelly Knievel.

After it was featured on the television series American Trucker, McKay purchased Big Red, the Mack truck Knievel used as as living quarters and bike trailer. Badly weather-damaged, McKay and Historic Harley-Davidson in Topeka Kansas, refurbished Big Red. 

As Lathan became acquainted with the Historic Harley family and the city of Topeka he along with Mike Patterson (owner of Historic Harley-Davidson) decided Topeka was the location to display his collection in a permanent museum setting.

The Evel Knievel Thrill Show Museum accomplishes Lathan’s goal of sharing the Evel collection with the world.