Lola and Colin were in a serious relationship beginning before the Pilot.
In Pilot, Lola mentioned that he would wait for her to return from French Court so they could be together. When Colin arrives at court its is a complete surprise to Lola to which she is overjoyed. He surprises her when she is taking a bath where he begins to massage her where they then share a kiss. When they ask permission from Queen Catherine if he can stay with her, Catherine talks to him alone where she found some way to make him poison and rape Mary. After that he was sentenced to death by being beheaded leaving Lola to grieve for her loved one.