wikipedia: Fleance and his father Banquo are both fictional characters presented as historical fact by Hector Boece, whose Scotorum Historiae (1526–27) was a source for Raphael Holinshed's Chronicles,[1] a history of the British Isles popular in Shakespeare's time. In the Chronicles, Fleance—in fear of Macbeth—flees to Wales and marries Nesta verch Gruffydd, daughter of Gruffydd ap Llywelyn, the last native Prince of Wales. They have a son named Walter who makes his way back to Scotland and is appointed Royal Steward. According to legend, he fathered the Stuart monarchs of England and Scotland.[2]

The Stuarts used their connection with Fleance and his marriage to the Welsh princess to claim a genealogical link with the legendary King Arthur. This, they hoped, would strengthen the legitimacy of their throne.[3] In 1722, however, Richard Hay, a Scottish historian, presented strong evidence that not only was James not a descendant of Fleance, but also that both Fleance and Banquo never even existed. Most modern scholars now agree that Fleance is not a real historical figure.

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Flatheid (Flaald) (Fleance) His mother was the daughter of a King of Scotland. Which one is unknown. He married Gwenla fil Griffith, daughter of Griffith ap Llewelyn, King of Wales and Agatha fil Algar.

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See also 'Genealogy of King James VI of Scotland, I of England' [Scottish Kings are printed in red; English Kings in blue; characters in Macbeth in bold.] http://www.shakespeare-navigators.com/macbeth/JamesGen.html