This Henrietta Godolphin was the daughter of Henrietta Godolphin, née Churchill, who was the second Duchess of Marlborough and the daughter of Sarah Churchill, née Jennings. This Henrietta Godolphin married Thomas Pelham-Holles. Her Wikipedia article is here.

William Godolphin (c.1700–1731), Viscount Rialton, Later Marquess of Blandford and His Sister, Henrietta (d.1776), Later Duchess of Newcastle in the style of Sir Godfrey Kneller (auctioned by Christie's to British National Trust)

Henrietta Pelham-Holles (née Godolphin), Duchess of Newcastle by Sir Godfrey Kneller (auctioned by Sotheby's)

Henrietta Pelham-Holles, 1st Duchess of Newcastle-under-Lyne, by Jonathan Richardson the Elder (University of Nottingham - Nottingham, Nottinghamshire, UK)
