First, the meaning of “spray”, which Naidu uses in this sense:
spray, n. 1.a. Small or slender twigs of trees or shrub.
Oxford English Dictionary.
This sense was often used by English poets as a perch for birds. Three examples:
The wodedowve upon the spray
She sang ful loude and clere.
Geoffrey Chaucer (c. 1380). ‘Tale of Sir Thopas’. Wikisource.
Fie, quoth the Linnet, tripping on the spray
Michael Drayton (1604). ‘The Owl’. In Works (1753), volume 4, p. 1292. London: W. Reeve.
The Nightingales, that perch upon the Spray.
Francis Fawkes (1760). Moschus, Idyllium 3 ‘On the Death of Bion’. In The Works of Anacreon, Sappho, Bion, Moschus and Musaeus, p. 264. London: J. Newberry.
Second, the connection between the kokila and henna-making. I think that this is seasonal: the song of the kokila or koel heralds the coming of the monsoon, when Indian women celebrate the festival of Teej by decorating themselves with henna.
May be, Sarojini, here [‘In Praise of Henna’], wants to throw light on the Hindu festival of “Teej” in the month of Sawan when the Indian women and maidens colour their palms and feet and go to enjoy the swinging of decorative swings.
Satvinder Kaur (2003). Sarojini Naidu’s Poetry: Melody of Indianness, p. 130. New Delhi: Sarup & Sons.