Mary's birth was recorded by her father Francis Knollys in his copy of a Latin Dictionary. The date of her birth is recorded as 1542, the Wednesday before All Hallows Day. (1st Nov)  An historical calendar shows that this would have been about the 25 Oct 1542. The place of her birth is not named.
There appears to be no further record of her into her adult life; and she is certainly not named as one of his daughters in Francis's will of 1596. 
↑ Varlow, Sally Sir Francis Knollys's Latin dictionary: new evidence for Katherine Carey Historical Research, Volume 80, Issue 209, August 2007, Pages 315–323,Oxford Academic