A puzzle, spies ... and a beheading

A puzzle about secrets

Emma wants to send her cousins Amy and Elinor secret messages. She doesnt want Amy to read the messages to Elinor and vice versa. Amy buys them all small lockable notebooks for Christmas. They are normal notebooks except that they have a lock that can be locked shut using a small in-built padlock. The padlock can be opened with a single key. Amy suggests that they write messages in their notebook and post it and the key separately to the person who they wish to send the message to. After reading the message that person tears that page out and destroys it, then returns the notebook and key. They try this and it appears to be working, apparently preventing the others from reading the message. They exchange lots of secrets...until one day Amy gets a letter from Emma that includes a note added on the end from Elinor: "I can read your messages. I know all your secrets". She has been reading Emma's messages to Amy all along and now knows all their secrets. She now wants them to know how clever she has been.

How did she do it and what does it have to do with the beheading of Mary Queen of Scots?