The tale appears in several ghost roundups, always in the same outline: a soldier, or a lover who was banished, went away for good, and she waits. One list adds sinister faces at the window of the Queen's Room and the ghost of Mary, Queen of Scots, who used the palace as a retreat.
None of the pages I read give a named witness, a date or the source of the legend, so this is a traditional ghost tale rather than a documented case. The palace is a National Trust for Scotland property.
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