Lyric discussion by UKHIST 

"Jane" is Jane Seymour, Henry's favorite wife (as she gave him a son). "Anne" is Anne Boleyn, who preceded Jane as queen consort and who's "time came" on the block in 1536. "Marie" is a reference to Henry's daughter, Mary. If you listen closely, he sings not about Marie but about how the "the sands have run out/for your lady and me" - Marie's lady was her mother, Catherine of Aragon. Also, "life is secure with Lady Jane" may refer to the historical fact that Jane was a good stepmother to Mary and Elizabeth or to the fact that Henry now had a son to succeed him, sickly though the son was.

@UKHIST This was my interpretation as well. It is strange that he uses the French name for Mary though because she was Spanish - it was Anne that was French. Everything else seems to fit though.

@UKHIST makes sense, and that he changed Mary to Marie, as "Mary" would be an awkward fit, as the first syllable is emphasized rather than the second.

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