How about Jane the musical?

It was a good movie, and curiously they used the same imagery at the
end, using a flock of birds taking flight to symbolise
Jane's soul leaving her body at the moment of death. We see a
serene and wistful Jane ascend the scaffold, gaze about at the grim
(she died in February) scene, and then gaze upward at some birds in
a point-of-view shot. We dimly hear the drum and then it stops and the
birds chatter noisily and fly away.

I don't know how "good" it is, but as far as I know the only other theatrical film about Lady Jane Grey is 1936's "Tudor Rose" w/ Nova Pilbeam as Lady Jane, Sir Cedric Hardwicke as the Earl of Warwick, and Sir John Mills, the father of Juliet and Hayley, as Lord Guilford Dudley.
A number of years ago, it use to be available on video, which is how I saw it, and I enjoyed it.