I'm aware I'm not the target audience, but I don't really get this show. It's too goofy for a drama, but not funny enough for a comedy. The dialogue is moderately witty, but not enough to make one laugh.
All the characters, including the protagonists, are pretty awful people. The title character treats her servant/confidant/purported best friend like a slave, a child premeditatedly murders a feeble old man in a way that is played for laughs, and the otherwise sympathetic rightful king has a penchant for boiling people alive. And those are the characters we're supposed to be rooting for! I guess it's supposed to be edgy but it just feels a bit mean spirited.
The soundtrack uses some very bad covers of some very good modern songs. The dialogue reminds us constantly of how intelligent the title character is supposed to be, but we don't actually see her do much that is particularly clever and do see her do some things that obviously aren't. The crown in this world doesn't seem to have much power, as neither of the characters who wear it are shown much respect. That might be part of the joke, but if so I don't get it.
I'm giving My Lady Jane three stars because the dialogue is a bit punchier than average, but it isn't as sexy as Bridgerton, nor as funny as The Princess Bride, nor as dramatic as The Tudors. It's more or less in the same category as the film adaptation of Pride and Prejudice and Zombies, which itself wasn't fantastic but was better than My Lady Jane.