This tiara has me intrigued. Although the design is very similar to the one described in Ursula's site, I feel that it is not the one which was worn by the Countess of Southesk at the 1937 Coronation as it appears that the stones in the Countess' tiara are much larger than those in the tiara worn by Queen Alexandra. The tiara photographed on Queen Alexandra has two borders of diamonds surrounding the central stones and the diamonds appear larger than in the Southesk tiara.
Queen Alexandra is wearing a light coloured dress so I would be surprised if she wore a colour and gemstone associated with mourning at a wedding, although it is possible that she was in half mourning.