Because a married woman automatically took the name and rank of her husband unless she had a title that outranked his - like Mr Joseph Bloggs and Lady Jane Bloggs. Otherwise she would be Mrs Joseph Bloggs. Mrs Jane Bloggs would be her name only if they divorced. Together, they would be Mr and Mrs Joseph Bloggs. That's still the very formal use and would have been the normal use within living memory.
I'm not sure how English and Welsh law stands on it but in Scots Law your actual legal name is the one you're born with unless legally changed eg by adoption or deed poll; all others are aliases. That's why legal documents will have a married woman as Mary Smith or Jones, one being their own name and the other their married name. Changing name on marriage only got common in Scotland in the nineteenth century to fall in with English use, which is why you see older references to (eg) Janet Douglas, Lady Robertson (completely made up name!). When you took your husband's name, you took the whole shebang, including his first name, just with Mrs in front of it. Incidentally, both Mrs and Miss come from the title Mistress which was used by all adult women regardless of marital status, like Mr. It's still polite here to call a woman of a certain age Mrs plus surname regardless; it shows respect.
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I think the only precedent was Mary, Queen of Scots making Henry Darnley King Consort of Scots and that ended in explosions, murder, abdication and eventual execution. Not a great precedent.