And speaking of woodland creatures, Meghan removed her coat indoors to reveal a long semi-sheer black Oscar de la Renta gown decorated with images of birds, deer, and various plants.
Harry and Meghan will be taken on a guided tour of the revamped theatre which has been open for more than 250 years.
After asking if Harry also wanted to write a message of hope to the women, she added: "I'm in charge of banana messaging".
Meghan took her time out to write that one. Here's the answer to that plus how old the Duchess of Sussex will be when she gives birth to her first child.
The royal couple, whose official title is the Duke and Duchess of Sussex, seemed unperturbed by the adverse conditions as they chatted with some of the fans who had waited patiently for them to arrive as heavy snow fell.
The charity specialises in helping women to break free from street sex work, addiction and other life-controlling issues.
Harry also spoke to the good work the charity was doing for sex workers who may have lost faith.
She told them how the charity had helped her in the past.
She also praised Meghan and Harry for coming to support the charity, despite having to courageous the snow to get there.
It is the theatre that first announced this morning they are still expecting the Duke and Duchess to visit despite the heavy snow.
She said: "For them to decide to come here is heartwarming and makes you think these women are not forgotten". I started going to the drop-in.
The toy was made by a volunteer from Pause - a service run by the charity which helps women who have had two or more children removed from their care.
Harry had some fun helping the kids train.