Scottish and English.
Margery was a Medieval variant of Margaret [q.v.], now also commonly spelt Marjorie, the usual spelling of Margery in England; Marjory is the more popular spellng in Scotland.
A private correspondent [AB] suggests May as a pet name for Marjory, Margery, Marjorie and Molly. This occurs in some official records and it might be well to consider this when searching.