Jacqueline de Montbel was a self-professed French Protestant aligned with French nobility opposed to the duke of Savoy. This was more by association as she had married into this alliance. Several times she was taken into Savoy custody and twice she abjured her Protestant profession - but ultimately she remained part of the 'Huguenot' faction. She died imprisoned under cruel terms in the Castle of Ivrea in 1599. It's been said that she received the Catholic Last Rites, yet this has never really been supported by evidence. Even her place of burial is a mystery.
Her life is well described in this wikipedia entry.
Allart covers the history of the Huguenot/Catholic conflict known as the Wars of Religion associated with this painting. The description of the term Huguenot is useful:
Huguenot. French Protestant - any of the Protestants in France in the 16th and 17th centuries, many of whom suffered severe persecution for their faith.
The origin of the name is uncertain, but it appears to have come the word aignos, derived the German Eidgenossen (confederates bound together by oath), which used to describe, between 1520 and 1524, the patriots of Geneva hostile to the duke of Savoy. The spelling Huguenot may have been influenced by the personal name Hugues, “Hugh”; a leader of the Geneva movement was one Besançon Hugues (d. 1532).
It was a time of horror in France - the worst being The St. Bartholomew's Day massacre, when thousands were murdered in a social/religious rampage led by Catholic enthusiasts.
Jacqueline de Montbel dEtremont's troubled story can be seen as a allegory for the entire period.