There is a story that the birth of Siamese twin girls in the summer of 1553, was seen to represent the situation of Lady Jane Grey and Queen Mary I.
This legend can be found in the following:
New Worlds, Lost Worlds: The Rule of the Tudors 1485-1603 by Susan Brigden
The Nine Days’ Queen: Lady Jane and Her Times by Richard Davey
Raven Queen by Pauline Francis
Edward VI: The Lost King of England by Chris Skidmore
And is briefly mentioned in:
Lady Jane Grey: Reluctant Queen by Marguerite Vance