In reality, Lady Jane and Guilford Dudley barely knew each other and were not together during their imprisonment.
Cary Elwes is related to both Guilford Dudley and Lady Jane Grey (on his father's side). Because Dudley and Grey never had children, Elwes is the direct descendant to Dudley and Grey's siblings: Mary Dudley, Guilford's sister, and Katherine Grey, Jane's sister, who was also the wife of Edward Seymour.