Queen Elizabeth of York was a York princess and the first Tudor Queen Consort. She was the wife of King Henry VII and mother of King Henry VIII, Prince Arthur whom was Catherine of Aragon's first husband, and 2 daughters. She died about twenty years before the beginning of the series.
When the North rises in rebellion against King Henry VIII, he thinks back to when he was five years old, to the Cornish rebellion of 1497. He and his mother Elizabeth were taken to the Tower of London. Henry says that she tried to be brave, but was terrified, as was he.
When Jane Seymour falls ill after giving birth in the episode 3x04, Henry says that it is childbed fever, and he knows this because his mother died of it as well.