The episode is detailed in royal biographer Robert Hardman’s book, Elizabeth II: In Private. In Public. Her Story.
Hardman recounts how servants became convinced something supernatural was disturbing one of the property’s rooms, prompting speculation that a religious intervention might be necessary.
He wrote: “Some of the housemaids had reported sensing a mysterious and unhappy spiritual presence in one of the rooms. There were even mutterings about having an exorcism.”
Rather than dismissing the concerns entirely, Elizabeth is said to have invited a local clergyman to investigate the unexplained atmosphere.
According to her friend Lady Prue Penn, the rector subsequently conducted a private religious service attended by Elizabeth, Princess Margaret and Penn herself.
Penn recalled: “He sensed a troubled soul unable to leave, and he thought it was Diana.”
However, the suggestion that Diana may somehow have returned to the royal residence prompted an amusing observation from the monarch.
Elizabeth is said to have replied: “I shouldn’t think so. Diana didn’t like Sandringham much.”