You can still get the Silver Key from her bedroom without marrying her. If you decide to betray her, she'll flee the city and the sheriff in Bowerstone North will ask you if you're interested in filling in the position of mayor. If you say no, he'll just ask you to come back and talk to him if you change your mind, so refusing doesn't do anything. When you say yes, you'll be introduced to the people in Bowerstone North as the new mayor, and you'll be allowed inside the mansion.
What's stupid about this is that the mansion isn't really much of a house. Even after you own the house and Lady Grey has fled the city, it's still called "Lady Grey's Bedroom". You can interact with the bed to get the Silver Key, and you'll get +5 evil points [even though you own the house], and you won't be able to actually sleep in the bed. There's also a Silver Key Chest in the back that has the Katana Hiryu in it. If you marry Lady Grey, you do get a 15,000 gold dowry, but it gold really isn't very useful since it's so easy to get in Fable. If you marry Lady Grey, you can access the Demon Door in the Grey House. Inside you get Ronok the Axe, which is the most powerful light axe in the game [I think it's 165 damage With Sharpening and Silver augmentations]. If you don't marry Lady Grey, you can't get it.
And lastly, you can't marry Lady Grey, get what's inside the Demon Door, then try to betray her - the game won't let you. You can only choose one or the other. If you marry her and decide to investigate her afterwards, she will follow you into the cellar at the Grey House [****ed], and grab the letter from you. Hope that answers all your questions!