Yes, apparently it is true. Years later after she became Queen, Elizabeth told a French ambassador that should she have been executed by Queen Mary, she would have asked for the privilege of a sword.
The French ambassador to whom Elizabeth confided this statement was Michel de Castelnau, who represented the French king on a number of missions to England beginning around 1560, and served as resident ambassador 1575-1585.He wrote his Memoirs between 1575 and 1585, and they cover the period 1559-1569. You can read his account of Elizabeth and her request for a swordsman in the original French on Google Books. I can’t find the entire Memoirs translated into English. Here is my rough translation:"And Elizabeth was made a prisoner by the command of Mary; in very great danger of losing her life, as she has often told me that [Mary] was resolved upon it, both from the ill will that she knew the said Queen Mary bore towards her, and from having invented accusations against [Elizabeth], of having written to the then king Henry II in France and having communications with His Majesty, and recognizing in her a completely French inclination" [emphasis mine; the key word is "affection," which might signify fondness, attachment, inclination, liking]. "She has told me also that being completely without hope of escaping, she desired to make one request to the Queen her sister, that she would have her head cut off with a sword as it was done in France, and not with an axe in the fashion of England, entreating that for this execution they might send to find an executioner in France."Note that there is no mention of her mother – historians have remarked that Elizabeth did not mention her mother after her accession – and Castelnau apparently does not make the logical inference, although this could be merely discretion.If you look at the French original, it’s disappointing that Castelnau gives no context for Elizabeth sharing this memory with him, or the year in which she discussed it with him (although the account is situated in his memoirs for the year 1560). The passage is part of a relatively straightforward account of Tudor dynastic history that led up to Elizabeth’s accession. It is preceded by a paragraph that talks about Elizabeth’s emotional and political entanglement with Courtenay and his consequent exile to Venice, and followed by Philip of Spain’s plans to marry her when Mary Tudor died. Anecdotes from Castelnau’s Memoirs show up in various historians’ accounts of Elizabeth’s reign (most of the Memoirs deals with the Wars of Religion in France, though), although they do contain errors; Courtenay, for example, is “Henry de Courtenay,” Margaret Clifford is “Marie” and Edward VI is christened “Edward Caesar,” which I don’t think is true, but historians are often selective in choosing which bits of sources to use to bolster their theses and which bits to tactfully ignore.It would be interesting to speculate on why Elizabeth told Castelnau this particular story – was there an ulterior motive? If you look at conversations between sovereigns and foreign ambassadors in the 16th century, it’s hard to escape the conclusion that many of these encounters are carefully scripted ahead of time as well as bound by diplomatic protocols. Even apparently “spontaneous” moments, in which the monarch divulges a confidence or displays an emotional reaction to the ambassador’s news, appear to be still stage-managed to a certain extent. This particular episode, with its suggestion that Elizabeth had an "affection" for France, could have been an attempt by the queen to demonstrate her (diplomatic) preference for France and affinity with French customs at the time she confided the story. Interestingly, the phrase concerning her liking for France is left out of most translations of the passage that I could find in Google Books; perhaps it is suspect or corrupt, or simply inconvenient?
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