The convent is supposedly haunted by the ghost of a nun, known as "Lady in Grey" who is said to roam the corridor outside one of the guest rooms. It is said that she considers it to be "her" room, as she was walled up alive in it. There are various versions of the "Grey Lady" story, the most popular being that she was the daughter of an affluent Spanish family who had married against her father's wishes. When he learnt of it, he placed her in the "Convent of Santa Clara" situated in the Main Street, where under the eyes of the Mother Superior, the girl was forced to take her vows and become a nun. Her lover was not discouraged; he joined the Franciscan Order and settled in the Convent. The couple are said to have met in the confessional of the King's Chapel where they hatched plans for their escape. On the night of their escape they made their way to the harbour where a boat was waiting for them. However, the alarm was raised and in the ensuing chase the lover fell into the water and drowned. The bride was arrested for breaking her vows and as punishment was walled up alive in one of the rooms in the Convent.