Henry would have been one of Christopher Dunn's youngest children, as three of his siblings married at Addington Church between 1570 and 1576.
Henry Dunn's final address from the scaffold and his execution were recorded in the Calendar of Scottish Papers, 1547–1603, ed.
Part of Dunn's address follows: "I lyved here joyfullie and pleasantlie under her majestie, and tenne weeks agoe I mette with Anthonie Babington, who toulde me of all his treasons and devises, & he urged me thereunto to give my consent, but I refused and disswaded him also.
At the end of his confession, in which he used the word "sorrowfull" four times, he begged: "Last of all I hastelie aske my prince forgiveness & I praie she & one & all maie be eternized with eternall blessedness."
He then politely refused to say the Lord's Prayer in English and intoned it in Latin before being "thrown off the ladder, where he hanged until he was thoroughlie dead".