Katherine Grey

Lady Catherine Grey was the sister of Jane Grey. In her last ours Jane Grey wrote a letter to her sister saying that she was am touching my death, but that her good 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 ment 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 believe in god and the letter was a little different to the one in the television series.