Is this just on the basis of ‘“How long do you think we’ll be here?”“Longer than you’d like,” the old man replied. “If he goes back without the gold the queen will have his head.’ in the Mercy chapter? The Queen could be Margaery, I suppose. It’s not possible they were sent before Cersei’s arrest, right?

Yeah, that’s it. It’s not Margaery, she’s not the kind of person who executes subordinates like that. Also, as Queen Consort she would be acting through the King not in her own name. 

If it’s “the queen,” it’s Cersei.

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