Coughlan is of course referring to the secret surrounding her alter-ego Lady Whistleblown, the show's anonymous gossip writer, a fact that her new fiancé Colin Bridgerton is unaware of.
Nicola Coughlan spoke about this as she stunned on the red carpet at an event at the Odeon Luxe in Leicester Square, London, where she donned a sparkly Rodarte gown with maroon velvet opera gloves.
The actress also had a matching bow in her hair, with a flowing tulle veil, referring to the wedding theme from the latest Bridgerton episodes.
"I'm really excited about part two because they've just gotten engaged, it's very exciting, but everyone realises the big [Lady] Whistledown secret that's hanging over it", she said. "That's why I love the audience knowing that and being in on the secret".
Commenting on Penelope's current dilemma, Luke Newton added: "You're in a tortured place because you want to be in the honeymoon period but she's got this deep, dark secret that's really frustrating".