Elizabeth Wein said this quote

Mary Queen of Scots had a little dog, a Skye terrier, that was devoted to her. Moments after Mary was beheaded, the people who were watching saw her skirts moving about and they thought her headless body was trying to get itself to its feet. But the movement turned out to be her dog, which she had carried to the block with her, hidden in her skirts. Mary Stuart is supposed to have faced her execution with grace and courage (she wore a scarlet chemise to suggest she was being martyred), but I don’t think she could have been so brave if she had not secretly been holding tight to her Skye terrier, feeling his warm, silky fur against her trembling skin.