I think that Jane Grey is called Lady instead of Queen because every monarch of England, Great Britain, or the UK since her has been a member of rival lines of descent to the crown than hers. Historians may have felt that calling her Queen Jane might be slightly disloyal to the reigning monarchs by suggesting that the heirs of Jane's claim to the crown might possibly be the rightful monarchs.
There are about six different possible legal opinions:
One) Jane was the legal and rightful queen, deposed and then murdered by the usurper Mary I.
Two) Mary I was always the legal and rightful queen, and Jane was an evil usurper rightfully executed for her treason.
Three) Jane was the rightful and legal queen during her reign but was legally deposed in favor of Mary I, making Mary I the new rightful queen.
Four) The rightful queen was Lady Frances Brandon (1517-1559), Duchess of Suffolk, the older daughter of Henry VIII's younger sister Mary Tudor. Lady Jane Grey was the oldest daughter of Lady Francis and would have eventually become queen anyway, so it is uncertain why Lady Francis was passed over in favor of making Jane Queen immediately.
Five) The rightful queen of England was Mary (1542-1587), Queen of Scotland and the fiancee of the future King Francis II of France. Mary's grandmother was Margaret Tudor, the older sister of King Henry VIII. Margaret Tudor's heirs had genealogical seniority, while Henry VIII and Edward VI preferred Mary Tudor's heirs because they were English and Protestant. Mary's son King James VI of Scotland eventually became King of England in 1603.
Six) Nobody could become the rightful queen regnant of England, because England should always be ruled by a male king. In that case the most genealogically senior man or boy descended from the Tudors would be the rightful king.
As near as I can tell, there were no male descendants of Mary Tudor alive in 1553, and the only male of legitimate birth descended from Margaret Tudor alive in 1553 was Henry Stuart, Lord Darnley, who later married Mary Queen of Scots and became King consort of Scotland, and the father of King James VI and I.
So according to viewpoints one and three, Lady Jane became Queen of England legally and was was the rightful queen of England during her brief reign. According to the other viewpoints, Lady Jane was a usurper during her brief reign.
Furthermore, listing Jane as a Queen, even if she was called an evil usurper as Richard III and Henry IV and Edward IV were called by their opponents, would draw attention to the claim of the descendants of Mary Tudor to the crown. Henry VIII decided that if his descendants died out, the descendants of Mary Tudor, and not the descendants of Margaret Tudor, would be the rightful heirs to the crown.
The descendants of Lady Jane Grey's mother, Lady Francis Brandon, and aunt, Lady Eleanor Brandon, have continued down to the present. So referring to Queen Jane Grey instead of Lady Jane Grey would make it seem like her claim to the throne had some legitimacy, and draw attention to the claim of the descendants of Mary Tudor. But every monarch of England, Great Britain, or the United Kingdom since 1603 has been descended from Margaret Tudor, the other sister of Henry VIII.
So I think that many historians would have considered it a bit disloyal to the reigning monarch to call Jane Grey "Queen Jane".
And if someone was really technical, there is a way that calling Jane "Lady" could be consistent with believing she was the rightful queen of England. England never had a queen regnant, rightful or not, before Jane - except that maybe it did.
In Anglo-Saxon times, someone became King of the English (which was used as the title instead of King of England) as soon as the previous monarch died or as soon as the nobles in the Witan selected them as king. As soon as someone acceded to the crown, they took the title of "Lord of the English" and had all the powers of the king, but waited until they were crowned to use the title of "King of the English".
There was a similar custom in the Holy Roman Empire. After about 1150or 1200 someone elected to be the future emperor would take the title of Rex Romanorum et semper Augustus, meaning "King of the Romans and always Emperor", and when they were crowned emperor in Rome would take the title of Imperator Romanorum et semper Augustus, meaning "Emperor of the Romans and always Emperor".
If there was a reigning emperor when a king of the Romans was elected, the King of the Romans was the heir of the reigning emperor. If there was no reigning emperor, the King of the Romans immediately had full imperial power, but didn't use the title of Emperor until crowned in Rome.
King Henry I made the nobles swear to make his only legitimate child, Matilda, Empress Dowager of the Romans and Countess of Anjou, Queen regnant of England. But when he died, her cousin Stephen quickly claimed the crown (claiming it faster than his older brother could), and the English nobles supported him.
During the civil wars that followed, Matilda achieved some success in 1141.
The clergy gathered again in Winchester after Easter, on 7 April 1141, and the following day they declared that Matilda should be monarch in place of Stephen. She assume the title "Lady of England and Normandy" (Latin: domina Anglorum, lit. 'Lady of the English') as a precursor to her coronation.
So Matilda's title of "Lady of England" is similar to an Anglo-Saxon king's title of "lord of the English" before being crowned "King of the English". And so Matilda briefly achieved the position of recognized but as yet uncrowned Queen of England.
So if some calls Jane "Jane Grey, Lady of England" instead of "Lady Jane Grey" they might be referring to the Anglo-Saxon title of "lord of the English" and Empress Matilda's title of "Lady of England and Normandy" and calling the rightful but as yet uncrowned Queen of England.