Denis's first wife was not his wife when he became a baronet, so no, she would not be entitled to the title of Lady. He was not entitled to be styled Lord, and wasn't, because the husband of a baroness is not termed Lord. A life peer's wife, like a knight's wife, is styled Lady, however, hence Helen Wogan being referred to as the "the present Lady Wogan" by Terry Wogan. What happens when one of a lesbian couple, joined in a civil union, becomes a baroness is yet to be determined; you could have two Lady Jones !