I think Bloody Mary is a concept that was derived from England's history.  Catherine of Aragon and King Henry VIII had a daughter named Mary.  Long story cut short, Henry married umpteen women in attempt to get a son, which he eventually received (but he died young).  Mary became Queen of England and was a Roman Catholic persecuting the Protestants.  I forgot the details of how she would torture and kill them, but I know they were very violent ways of oppressing this group of people.  She was the predecessor of the first Queen Elizabeth, I believe.

At any rate, my memory on this history is foggy, but I hope it is of help.  I believe the Bloody Mary myth came from this bit of history.  You can more or less safely assume that if I am not corrected, people turned this historical figure into a myth or story because of her heinous deeds...in a similar way Elizabeth Bathory became integrated into vampire/fiend-type myths. 


Sincerely,
ResplendentSeraphim

I have heard different things, such as Bloody Mary being "Satan's Wife," although I do not literally believe in such.  However, I think all of these concepts come from the same source, or a source very close to it.  I am glad I could be of help.  Hopefully, more people can contribute more of what they know about this concept.  It is a very interesting question that you bring.



Sincerely,
ResplendentSeraphim

Growing up in the Deep South, we had many boogy men!

Petey Wheatstraw scared me to death and I recall calling Bloody Mary in a bathroom at school with some friends when I was in the seventh grade. We would wind up scratched but that was probably due to our own hysteria!