It's never explicitly stated, just inferred. The comment that the others girls "changed their names, got married" is thrown around. Mandy tells them one girl killed herself (Amy), one is "actually doing pretty well of Fox News" (Coco), leaving Bethany to "get married." When Grace gets Sophia Doyle's name she's confused because her dad told her her mom's name was Mulligan, but no, she doesn't specifically say maiden name. The fact that Grace has her father's last name and that he was able to sue for custody only prove that he was acknowledged as the father, not that he was a husband. I would bet that Grace grew up believing that her dad had been married to her mom, but it could be part of the fairytale version as easily as not.