Haha good question !

My goto source for this query is Genuki, which states that in Victorian times would be Glos, as Lea Bailey was part of Newland parish.
https://www.genuki.org.uk/big/eng/GLS/Newland/Gaz1868

For the history of the relevant Registration Districts, ukBMD site is my source.
This shows that until 1890 Lea Bailey was one of only two places in Gloucestershire that came under Ross Registration District (the other being Ruardean which I've researched quite a lot, and I always hedge my bets looking at both Glos and Herefordshire);
https://www.ukbmd.org.uk/reg/districts/ross.html

However as the site states, the Civil Parish of Lea Bailey was abolished 24.3.1890 to become parts of the parishes of Lea(Herefordshire) and Blaisdon(Glos).

The UKBMD site's tables needs careful reading to fully understand things, I'm not sure I do yet... certainly not sure exactly which parts of Lea Bailey "went" where, or how that affects your researches.

Think it's safe to say you need consider both counties but mainly Ross District aka Herefordshire, as Fred says.

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By coincidence I already had the Glos Archives catalogue website open before reading your post, searching it for "Lea Bailey" shows they hold 83 records which maybe of interest to you, inclduing house deeds etc (you don't state what sort of records you're looking for.
https://ww3.gloucestershire.gov.uk/CalmView/Default.aspx?

I've just visited the new Herefordshire Archives site, it all looks very new to me ?. I tried searching for "Lea Bailey" but without much success yet, hopefully you'll have better luck than this beginner to the site. I know not why but any UK government site with "Archives" in the title does seem to have rather odd search engines.... or maybe it's just me !)
https://www.herefordshire.gov.uk/info/200164/herefordshire_archive_and_records_centre

Please could somebody advise me whether I'd find records relating to Lea Bailey in Hereford or Gloucester Records Office?

Many thanks

Sophie