His first wife, Lady Katherine Grey, was a potential claimant to Elizabeth's throne, and law established that it was a penal offence for her to marry without notifying the Sovereign. They were married by an anonymous clergyman at Hertford House in Cannon Row, Westminster, before 25 December 1560. The marriage was kept secret until August nearly a year later when Katherine became visibly pregnant and she confided the reason to Lord Robert Dudley. Each was ordered to confinement in the Tower; Katherine was confined immediately, and Seymour imprisoned upon his return from a tour of the continent with Sir Thomas Cecil. While in custody, they were questioned about every aspect of their marriage, but they both claimed to have forgotten the date.