Lyric discussion by flyphil 

Cover art for Fotheringay lyrics by Fairport Convention

The literal meaning is clear: death of Mary Queen of Scots.

But I think this was about Sandy Denny's inner self. She was a restless soul that felt trapped "To live such fruitless years behind a guarded door,"

When she had a child in 1977, it was not enough and a year later she was dead at 31.

"Tomorrow at this hour she will be far away, Much farther than these islands, Or the lonely Fotheringay"

free at last. Dear God I hope she is.