Lady Jane wrote a farewell letter to her sister, Katherine. The letter was written in her Greek Testament, which she bequeathed to her sister.
A full copy of this letter can be found in the following:
Child-Life and Girlhood of Remarkable Women by W H D Adams
Notices of the Historic Persons Buried in the Chapel of St Peter ad Vincula in the Tower of London: with an account of the discovery of the supposed remains of Queen Anne Boleyn by Doyne C Bell
Lady Katherine Grey: A Dynastic Tragedy by Conor Byrne
Lady Jane Grey: Nine Day Queen of England by Faith Cook
The Nine Days’ Queen: Lady Jane Grey and Her Times by Richard Davey
Acts and Monuments VI by J Fox
The Story of Lady Jane Grey (Essay in Painting History: Delaroche and Lady Jane Grey) by John Guy
Silent But For The Word: Tudor Women as Patrons, Translators, and Writers of Religious Works edited by Margaret Patterson Hannay
The Nine Days Queen: A Portrait of Lady Jane Grey by Mary Luke
Literary Remains of Lady Jane Grey: With A Memoir of Her Life by Nicholas H Nicolas. (This book contains 2 slightly different versions of Jane’s letter to Katherine.)
Lives of the Tudor Princesses by Agnes Strickland
Documents of Lady Jane Grey: Nine Days Queen of England 1553 by James D Taylor Jr
State Trials, 1 Mary, 1553 and others for High Treason
Extracts can be found in the following:
Lady Jane Grey by Hester W Chapman
Exploring the Lives of Women 1558-1837 by Louise Duckling and Sara Read et al
Two Tudor Portraits: Henry Howard, Earl of Surrey and Lady Katherine Grey by Hester W Chapman
Raven Queen by Pauline Francis
Jane Grey Reine De 9 Jours (1537-1554) by Marguerite Fronville
Early Modern English Noblewomen and Self-Starvation: The Skull Beneath the Skin by Sasha Garwood
Arbella: England’s Lost Queen by Sarah Gristwood
Lady Jane Grey and Her Times by George Howard
Lady Jane Grey: A Tudor Mystery by Eric Ives
Tower: An Epic History of the Tower of London by Nigel Jones
The Lost Kings: Lancaster, York & Tudor by Amy Licence
The Sisters Who Would Be Queen: The Tragedy of Mary, Katherine and Lady Jane Grey by Leanda de Lisle
Tudor: The Family Story by Leanda de Lisle
Bess of Hardwick: First Lady of Chatsworth by Mary S Lovell. (1 line only).
Uncrowned: Royal Heirs Who Didn’t Take The Throne by Ashley Mantle. (1 line only).
The Temptation of Elizabeth Tudor by Elizabeth Norton
Lady Jane Grey: Nine Days Queen by Alison Plowden
Lady Jane Grey and the House of Suffolk by Alison Plowden
The House of Tudor by Alison Plowden
She Wolves: The Women Who Ruled England Before Elizabeth by Helen Castor (1 line only)
Bradgate Park: Childhood Home of Lady Jane Grey by Joan Stevenson and Anthony Squires (1 line only).
Crown of Blood: The Deadly Inheritance of Lady Jane Grey by Nicola Tallis
The House of Grey: Friends & Foes of Kings by Melita Thomas
Children of England: The Heirs of King Henry VIII by Alison Weir
Innocent Traitor by Alison Weir
Teen Queen: Looking for Lady Jane by Cynthia Zarin (The New Yorker) (1 line only).