"That day he was talking about Elizabeth and Leicester"

 Henry is discussing the relationship between Queen Elizabeth I of England and Lord Robert Dudley, Earl of Leicester. For a variety of complex personal and political reasons, Elizabeth I never married, and rumours persisted about the nature of her relationship with Leicester. Although it is clear that Leicester was the Queen's favourite, and she was probably in love with him, there is no evidence that they ever had an affair, and it is extremely unlikely that the shrewd and focused Elizabeth would have compromised herself in this way. For a long time after the death of Leicester's wife she considered marrying him, but widespread opposition in her royal court made the match impossible.