I think she'd probably do both Fancy, knowing Milady. Even though she worked for the Cardinal, she always had her own agenda.
Keep your friends close, and your enemies closer and all that.
I predict Milady and Roquefort bumping uglies at some point.
Both of them lying to each other and using each other to further their own plots.
Both of them getting away with it by the skin of their teeth.
But I don't think they will ever truly collaborate. They are cut from the same cloth, and only one of them can be in charge, but both want to be.
Or, in an annoying twist, Milady could manage to keep her nose clean this series. At least in terms of being caught out. She could remain a contact of the King. Albeit from a distance after Queenie kicks her arse.