1:46 PM PT -- A source close to Megyn tells us when she looked at the meme, she didn't realize the Queen was holding a gun, and only thought it was a reflection on the windowpane. She took it down after only a couple of minutes.
As you can see, the meme -- which Megyn retweeted -- shows the Queen holding a handgun with a silencer, with the caption, "When you spend £32 million on your grandsons wedding and his wife starts bitching about you to Oprah."
Her review of the threatening meme was ... "So good." She, or someone on her team, has since deleted the tweet -- but she's already made her position known on Harry and Meghan's interview.
Kelly played Monday morning QB, criticizing Oprah for not asking the couple to be more specific about the racist allegations -- and made it clear she didn't buy Meghan's claim she didn't know anything about the Royal family before hooking up with Harry.
We reached out to Megyn's camp about the tweet ... so far, no word back.