Moments before the scene inside Buckingham Palace when Wallis is introduced to King George V we see a still shot of the Palace with no Royal Standard flying, this signifies that the monarch is not in residence in which case he can't be inside receiving any one, especially Mrs Simpson.
Early on, Wallis tells David that she was born and bred in Baltimore, but, although she did grow up in Baltimore, she was in fact born in Blue Ridge Summit, Pennsylvania.