My family descended from a William Gray (b ~1732) who emigrated from England to the US before 1750. My aunt insists that we're descendants of Lady Jane Gray/Grey, but she was killed before she had children - so I'm not sure how that works! I have no definitive proof that we are related to the royal family, but I know that some are descended from royalty. I watched the whole mini-series, "The Tudors" to get some history on the subject, and subsequently watched some historical documentaries on the subject, but that's where I found that Lady Jane was executed at a young age and never had kids.