Katherine Grey

Lady Catherine Grey was the sister of Jane Grey. She was married at the age of twelve, on the same day as her two sisters, Jane and Anne, also married. Catherine sobbed at her wedding. (PROSE: The Nine-Day Queen)

Jane Grey thought she was a good sister. In her last hours, Jane wrote a letter to her sister saying that she was touching her death, but that her sister should rejoice, because Jane would be delivered of corruption. And though she would lose her mortal life, she was assured that she would win immortality. Rani Chandra thought that it meant that Jane Grey knew that she would always be remembered and never forgotten. (TV: Lost in Time)

Behind the scenes
In the real letter Jane Grey's words refer to her belief in god and the letter was a little different to the one in the television series.