I've never heard Mary Queen of Scots was any kind of Puritan. Presumably it was one of her court celebrations sthat was being condemned by the current Ian Paisley.

The expression "dancing and debauchery" recognises a distinction between the two activities, while indicating that the two activities can coexist in a social setting, which is quite true.

The same of course is true of tennis. The funny thing is you never seem to hear people talking about tennis and debauchery.