I think it's more likely a combination of a finger wave with naturally curly hair. In pictures of her when she's younger she had very curly hair that she piled on the top of her head. In pictures of her when she's older it looks like there's a continuation of this style but with shorter hair. I doubt it's a wig.
The front of her hair in later life was a "piece" made by the same process employed to make judges wigs and called "frizzeur force." My friend's mother, who worked for a leading London hairdresser, was responsible for making these pieces. It is unlikely that the style ever changed as Mary was not considered to be a leader of fashion. She was forbidden by George to adopt the new length of skirt.