The first episode shows the marriage of Princess Elisabeth of France and Phillip II of Spain getting married and Mary and Francis getting married way after them. In real life Mary and Francis got married over a year before Elisabeth and Phillip.
For her wedding to Francis, Mary shows up in a complete white dress and veil. It wasn't until Queen Victoria married (1840) that people started to wear white wedding dresses. A painting of the real wedded couple survives: Francis wore a suit with blue tones as that color represented purity. Mary's dress is not clearly shown, but it has red colors with bits of blue and yellow. The normal colors used at a wedding back then. Mary did not wore a veil.