Being classed as vermin, it is illegal to release (grey) squirrels once trapped/caught/etc - so those two must have had a suicide pact...
I don't believe there is a legal classification of "vermin" these days. However, grey squirrels are on the "Union list" of invasive species, which does make releasing them an offence under the Wildlife and Countryside Act 1981 and Invasive Alien Species (Enforcement and Permitting) Order 2019. There are surprisingly few alien animals on that list (though rather more plants):
Crab, Chinese Mitten
Eriocheir sinensisCrayfish, Red Swamp
Procambarus clarkiiCrayfish, Signal
Pacifastacus leniusculusCrayfish, Spiny-cheek
Orconectes limosusDeer, Muntjac
Muntiacus reevesiDuck, Ruddy
Oxyura jamaicensisFlatworm, New Zealand
Arthurdendyus triangulatesGoose, Egyptian
Alopochen aegyptiacusPumpkinseed
Lepomis gibbosusSquirrel, Grey
Sciurus carolinensisThe Wildlife and Countryside Act 1981 is a very schizophrenic bit of legislation: most of it is about not doing nasty things to any kind of wildlife, and then it flips over when it comes to the aliens and makes some nasty things (within limits, of course) compulsory. It also contains a much longer list of aliens, containing some surprising entries - such as the Capercaillie
Tetrao urogallus. I guess that's about licensing and controls, and perhaps in that case the rules differ in Scotland.
There was Japanese Knotweed in a neighbouring site, supposedly removed in the approved manner before it was built on. But I was surprised to find the
Cotoneaster horizontalis in my garden is listed as an invasive alien. In this case the control regime just tells you not to plant it outside your garden, but that's not easy to deduce starting from the list.