Sorry if this is in the wrong place or has already been posted but it's delightful 😊
https://www.hellomagazine.com/royalty/511186/queen-margrethe-fun-video-looking-back-reign-cyndi-laupers-girls-just-wanna-have-fun/
I think it might be an Emilia Wickstead coat dress. There is something similar in their AW20 collection. Probably custom made for Mary to suit the occasion. Just a hunch 🙂