Two days after Wyatt was taken, lady Jane and her husband were ordered to prepare for death: lady Jane , who had long before see the threatened blow, was nowise surprised at the message, but bore it with heroic resolution; and being informed that she had three days to prepare for death ,she seemed displeased at so long a delay. Guildford Dudley was the first that suffered. As the lady was conducted to execution, the officers of the Tower met her on the way bearing the headless body of her husband, streaming with blood, in order to be interred in the chapel in the Tower: she looked on the corpse without trembling, and only , with a sigh, desired to proceed. She testified, to the last moment of her sufferings , great constancy, great piety and immovable adherence to the reformation……

Letter XXXIII

This is probably why JA describes her as follows:

..for she declared herself displeased with being appointed Queen, and while conducting to the Scaffold,she wrot a scentnce in Latin & another in Greek on seeing the dead Body of her husband accidentally passing that way.

echoing this form Goldsmith, quoted above:

and being informed that she had three days to prepare for death ,she seemed displeased at so long a delay…
JA would also have been ,as an Anglican priest’s daughter, well versed with Foxes book of Martyrs. This was a very popular book, going through many editions, and which describes in great detail the Protestant martyrs .

Lady Jane Grey is included in Chapter Sixteen:

The Words and Behavior of the Lady Jane upon the Scaffold
The next victim was the amiable Lady Jane Gray, who, by her acceptance of the crown at the earnest solicitations of her friends, incurred the implacable resentment of the bloody Mary. When she first mounted the scaffold, she spoke to the specators in this manner: "Good people, I am come hither to die, and by a law I am condemned to the same. The fact against the queen's highness was unlawful, and the consenting thereunto by me: but, touching the procurement and desire thereof by me, or on my behalf, I do wash my hands thereof in innocency before God, and the face of you, good Christian people, this day:" and therewith she wrung her hands, wherein she had her book. Then said she, "I pray you all, good Christian people, to bear me witness, that I die a good Christian woman, and that I do look to be saved by no other mean, but only by the mercy of God in the blood of His only Son Jesus Christ: and I confess that when I did know the Word of God, I neglected the same, loved myself and the world, and therefore this plague and punishment is happily and worthily happened unto me for my sins; and yet I thank God, that of His goodness He hath thus given me a time and a respite to repent. And now, good people, while I am alive, I pray you assist me with your prayers." And then, kneeling down, she turned to Feckenham, saying, "Shall I say this Psalm?" and he said, "Yea." Then she said the Psalm of Miserere mei Deus, in English, in a most devout manner throughout to the end; and then she stood up, and gave her maid, Mrs. Ellen, her gloves and handkerchief, and her book to Mr. Bruges; and then she untied he gown, and the executioner pressed upon her to help her off with it: but she, desiring him to let her alone, turned towards her two gentlewomen, who helped her off therewith, and also with her frowes, paaft, and neckerchief, giving to her a fair handkerchief to put about her eyes.
Then the executioner kneeled down, and asked her forgiveness, whom she forgave most willingly. Then he desired her to stand upon the straw, which doing, she saw the block. Then she said, "I pray you, despatch me quickly." Then she kneeled down, saying, "Will you take it off before I lay me down?" And the executioner said, "No, madam." Then she tied a handkerchief about her eyes, and feeling for the block, she said, "What shall I do? Where is it? Where is it?" One of the standers-by guiding her therunto, she laid her head upon the block, and then stretched forth her body, and said, "Lord, into Thy hands I commend my spirit;" and so finished her life, in the year of our Lord 1554, the twelfth day of February, about the seventeenth year of her age.
Thus died Lady Jane; and on the same day Lord Guilford, her husband, one of the duke of Northumberland's sons, was likewise beheaded, two innocents in comparison with them that sat upon them. For they were both very young, and ignorantly accepted that which others had contrived, and by open proclamation consented to take from others, and give to them.

I feel sure that JA knew of this book too. I am not sure she had any personal amnity toward Lady Jane, but I feel sure these descprtions of her being more disposed to read and write Latin and Greek, eschewing all pleasure ,set JA off on her tirade against her.

I must say this all brings back memories of Blackadder to mind ,especially the episode when he became Lord High Executioner and wrongly executed a chap , having decided to do a weeks worth of executions in one day in the name of efficiency , only to find out that one chap was given a reprieve by Queen Elizabeth….