From the archives of L'Officiel De La Mode come photographs of two creations designed specifically for Marlene (not modelled by her, unfortunately):
1936. A black fox busby and suit with matching fur trim, designed by Schiaparelli, who was inspired by the coronation of Edward VIII.
1938. A white fox cape designed by la Reine d'Angleterre.
I wonder if there are photos of Marlene wearing these?
The archives of L'Officiel from 1921 - 2010 are available online.