Lady Margaret Grey is mentioned as a receiver again of a New Year's gift from Henry VIII on the 1st of January 1538.
https://www.british-history.ac.uk/letters-papers-hen8/vol13/no2/pp496-539And again in 1540:
New Year's Gifts 1st January 1540Servants of the Lady Mary [Mary I Tudor], 53s. 4d.; of Lady Elizabeth [Elizabeth I Tudor], 20s.; of the duchess of Suffolk [Katherine Willoughby], old lady of Norfolk, duchess of Richmond [Mary Howard, Duchess of Richmond, the widow of the King's illegitimate son], lady of Westmoreland, and lady of Rutland, 20s. each; of lady Powes, 13s. 4d.; of the lady Marquis Dorset [Margaret Wotton, Marchioness of Dorset, 20s., lady Huntingdon, 20s., Mounteagle, 13s. 4d., Audeley, the Lord Chancellor's wife [our Elizabeth Grey, Lady Audley], 40s., the lady of Kent [Margaret Finch, Countess of Kent, married name Grey at the time], 10s., the lady of Rochford [Jane Parker Boleyn], 13s. 4d., lady Browne, 10s., Bryan, 10s., the young lady Marquis Dorset [Frances Brandon, later Duchess of Suffolk, Henry VIII's niece and Jane Grey's mother], 20s., lady Guildford, 13s. 4d., lady of Derby, 20s., of ladies Calthrop, Baynton (10s.), Hertford, Kinston, Hampton, Russell, Lister, Russell of Worcestershire, Souche, young lady Knevett, St. John (10s.), Hennage, Shelton, Dudley, Page, Sussex, Kildare, Margaret Grey, Herbert of Troy, Bridgewater (20s.), Margaret Douglas, Egecum, Carewe and Taylbushe, 13s. 4d. each; of Mrs. Hill, Mrs. Bowcher, Mrs. Deny, Mrs. Chamborne, Mrs. Jenyns, Mrs. Dorothy Bray, Mrs. Meawtis, and the lord Prince's nurse (that brought “a dossen hankerchers garnished with gold”), 10s. each.https://www.british-history.ac.uk/letters-papers-hen8/vol16/pp178-210Here we also see that the idea that she could be Margaret Wotton, Marchioness of Dorset (whose married name of course would have been Grey) falls away, as they are all mentioned in the same document as separate people. '[T]he lady Marquis Dorset', i.e. Margaret Wotton, Marchioness of Dorset, 'the young lady Marquis Dorset', Frances Brandon, later Duchess of Suffolk, Henry VIII's niece and Jane Grey's mother, and of course, our mysterious 'ladies [...] Margaret Grey'.
As an added bonus we also see the 'lady of Kent' mentioned in the list together with the other ladies, neatly eliminating her as a candidate also. She had the title lady, was christened Margaret, and had the married name of Grey from about 1520.
From Kate Emerson's wonderful Who's Who of Tudor Women:
MARGARET FINCH (d.1540/1)Margaret Finch was the daughter of James Finch or Fynche of London. She was married three times. Her first husband was John Dawes (d.1514), a grocer and London alderman living in Farringdon Without. Her second husband was Oliver Curteis or Curteys. On January 23, 1520/1, she married Richard Grey, 3rd earl of Kent (1481-1524), whose first wife had died on November 19,1516. Margaret had a dowry of 2000 marks, which Kent planned to use to redeem manors he’d sold off in previous years. In partial preparation for her new status as a countess, Margaret purchased twelve ells of Holland cloth, half an ell of popinjay sarcenet, and a frontlet of gold. The cost for all these together was £48 2s. 2d. She appears to have had no children by any of her husbands.
http://www.tudorwomen.com/?page_id=675I had her in the running as the mysterious Lady Margaret Grey for awhile, but now she can be safely eliminated.
I have often seen it stated that Margaret Wotton, Marchioness of Dorset, died in 1535, but as we can see, she was still alive in 1540.
In fact, she was still alive in January 1541. On the 1st of January, to be presise:
New Year's Gifts 1st January 1541(I think? - “Rewards given on Saturday, New Year's Day, at Hampton Court, anno xxxijo”)
'of the lady Mary and lady Anne Cleves, 53s. 4d. each; of the duchess of Suffolk, the old lady of Norfolk, the duchess of Richmond, the lady Westmoreland, the lady of Rutland, the lady marquis Dorset, the lady of Huntingdon, and lady Audeley, 20s. each; of ladies Rochford, Bryan (10s.), Guildford, Caltrope, Denys (10s.), Baynton (10s.), of Hertford, Kingston, Russell, of Hampton, Hawarde (10s.), Lyster, Russell of Worcestershire, Zouche, Shelton, the young lady marquis Dorset (20s.), Knevitt, St. John, Hennage, Dudley, Page, of Sussex, of Kildare, Herbert of Troy, of Bridgewater (20s.), Margret Dugles (20s.), Edgecombe, Carowe, Tailbushe, Crumwell, Wriothesley, and Bray, 13s. 4d. each; Mrs. Hill, servant, reward, “Mrs. Bourches, servant,” Mrs. Denys', Mrs. Chambours', Mrs. Jenyns', Mrs. Mewtes', the lord Prince's nurse (that brought “a dozen hankerchers garnished with gold”), Mrs. Penn, Mrs. Turwhit, and Mrs. Herbert, 10s. each;'Henry VIII: Miscellaneous 1541 Pages 696-730Lady Margaret Grey however is ominously and conspicuously missing.
If anyone has a complete list with links to all of the New Year's gifts lists, I would be deeply grateful. I have not been able to find one for the time after 1541.