In the "Story of a Modern Woman" , Lady Jane mentions having been a member of this league whilst also introducing Mary to a journalist who was also a member. The Primrose league was founded by Benjamin Disraeli during the era of Queen Victoria. It was created to:

" 1. To Uphold and support God, Queen, and Country, and the Conservative cause;

2.To provide an effective voice to represent the interests of our members and to bring the experience of the Leaders to bear on the conduct of public affairs for the common good;

3.To encourage and help our members to improve their professional competence as leaders

 4.To fight for free enterprise" (Primrose League).

It was essentially made to uphold conservative values, and became widely popular once women were allowed into the realm. Winston Churchill would later be a part of this organization and detail it in one of his books.

Source: https://en.wikipedia.org/wiki/Primrose_League