Bunnahabhain-- No one answered your question in as many words, so:

The lead-in is when Groves & Lady Whosis first meet in the church and she invites him home.

He:
"I cannot go, I dare not go; I fear 'twould cost my life,
For I see by the little ring you wear, you are Lord Arlen's [?] wife;
You're the great Lord Arlen's wife."

She:
"This may be false, this may be true; I can't deny it all,
But Arlen's gone to consecrate ... King Henry at Whitehall,
King Henry at Whitehall."

FWIW, at the U. of Oregon c.1968 I went to a session in the Anthro Dept., I think, with a folklorist named Barry Tolkein. He insisted that Baez had pirated a bunch of ballad lyrics from him, I think including this one. Which is neither here nor there and doesn't help pin down the song.

My guess would be that if a real event were meant, it would refer to the coronation of either Henry VII in 1485 or Henry VIII in 1509. I have no idea if either event took place at Whitehall.

Chicken Charlie