When you have married Lady Grey, go to Bowerstone South and get the house that is right at the top of the map, next to the school. Wait until night and then beat up the person who lives there. Buy the house but do not rent it out.

Find someone in Bowerstone that likes you and flirt with her. Give her gifts until she starts asking for a wedding ring.

Give her a proper one and marry her.
After a few minutes tell her to follow you and take her up to Bowerstone North and find Lady Grey.
When Lady Grey sees your new wife, she will attack her.

This is really as neither can fight very well.
WARNING: Both will divorce you when they have stopped fighting.