He scored 95 and took four wickets against a Combined North-West XI in Potchefstroom but the Scots were left ruing a lack of ruthlessness as the hosts edged home by two wickets.
Defending a total of 239, the tourists stayed in the hunt by picking up regular wickets. Davey took four for 49 while Majid Haq weighed in with three for 50.
Earlier, Aberdeen-born Davey led the way as Scotland produced a solid, if unspectacular, batting display. He provided the anchor role with a patient knock but few of his top-order colleagues could offer sustained support.
It was left to Michael Leask, the Stoneywood-Dyce youngster, to hit 36 as the Scots accelerated towards the end. His knock allowed the tourists to reach 239 for nine, a total which proved just short.