Besides the name "Mary Hamilton", another piece of evidence in favour of the Russian incident as at least contributing to the ballad is the dialogue between MH and "the King". Although we normally use an anglicised version of the Russian title, "Czar" or "Tsar", Peter the Great could reasonably be called a king, but not anyone in the court of Mary QoS.

On the other hand, the events as recounted in the ballad are normally set in Edinburgh (apart from one version with the very surprising Glasgow) and Mary QoS did have "four Marys".

So the ballad does seem to be a concatenation of at least those two elements, whether consciously put together by whoever first cast the story into the form of the ballad or combined through confusion at an earlier stage.