It's hard to believe she wouldn't approve of Henry and McCaw being added to the exclusive list after witnessing the level of support the All Blacks received throughout the World Cup and the huge crowd who turned out for today's victory parade through central Auckland.
Rugby has gripped the nation and made an indelible imprint on New Zealanders.
Wilson Whineray, Brian Lochore, Colin Meads, Fred Allen and John Graham have all been knighted for services to sport but also had distinguished careers in business, coaching, charitable work or education.
David Kirk, the captain of the 1987 World Cup-winning All Blacks, was made an MBE in 1987 but that win 24 years ago made less of an impact on the nation than this one. It's something that affected the Prime Minister.
"We are not prone to overt signs of patriotism but they wanted to show their emotion and support," said Mr Key, who enjoyed a beer with the team in the dressing room after the 8-7 win over France.
"What a great channel to be able to do that. In a way I'm not surprised [by New Zealanders and they way they embraced the tournament] but I am delighted. At the opening ceremony I said, 'this is your World Cup, be proud of it,' and they were.
"I really wanted the All Blacks to win for a team that had tried so hard and worked so hard to get there. But for New Zealand it's great. It's been a pretty tough time over the past 12 months, just being able to unify the country and give them something to really cheer for has been really special."
It has probably also improved Mr Key's chances of retaining office at next month's election.
"There's no great evidence there's any correlation ... but it doesn't hurt," he said.
In an earlier statement Mr Key congratulated the All Blacks on a superb victory, saying they had achieved "the ultimate in world rugby".
"It is an achievement built on courage, determination, grit and great teamwork. These are all values that New Zealanders hold highly and I know Kiwis will be very proud of their team _ they are deserving world champions."
Mr Key attended the match and said the atmosphere at Eden Park was fantastic from kick-off until long after the final whistle.
The crowds had been great and New Zealanders had been been good hosts throughout the six-week tournament, he said.
Labour leader Phil Goff said the All Blacks had done the country proud and their victory was a reward for fans who had been such staunch supporters of the team.
"All credit to the boys in black. It was a fantastic game and an enthralling performance for those lucky enough to be at the game and the millions of others around the world who were glued to their TVs.
"The whole country was behind you and is celebrating with you."
Mr Goff congratulated the players, coaches, support staff and families, as well as the French team, who he said played "with true grit and determination and fought to the bitter end".
