There actually was a Bloody Mary, but I don't think the legend you are thinking of came from her. Bloody Mary was the nickname, or rather, the disparaging name, used for Queen Mary I of England (or Mary Tudor, daughter of King Henry VIII and Queen Katherine of Aragon, his first wife).
The Legend of Bloody Mary has many different roots, depending on the cultural reference. So, maybe in England it is referring to Queen Mary I.
Don't worry, it's just a legend, a myth. Bloody Mary will not hurt you, but it is pretty scary! I used to be scared of it when I was younger!
Bloody Mary Info (scary!)
http://en.wikipedia.org/wiki/Bloody_Mary_(folklore)
Queen Mary I (Bloody Mary)
http://en.wikipedia.org/wiki/Queen_Mary_I_of_England