Mary says that she is pregnant with the future King James VI/I before she and Darnley got married. However in real life Mary and Darnley were married in mid July 1565 and James was born in June 1566 11 months later.
Bothwell tells Mary again not to marry Darnley and to marry him him instead. However he was already married at the time to his second wife whom he had just married when Mary and Darnley got married.