A cross-provincial hydro-thermal ancillary service market mechanism is proposed to address the integration of conventional hydropower into regional peak regulation markets and its coordination with provincial markets. Hydropower feed-in tariffs are considered, together with the economic attributes and security-stability characteristics of different operational zones. A method for hydropower basic peak regulation is proposed, and an opportunity cost model for peak regulation is developed. For the generation right replacement market, transactions are categorized. The categorization is based on whether energy return is involved in hydro-coal peak regulation. The significant differences in deep peak regulation costs are considered, as well as the regional variations in provincial market price caps. Distinct trading products are defined for hydropower deep peak regulation and coal-fired deep peak regulation. A mechanism of categorized and tiered price caps with separate clearing is then proposed to achieve priority clearing for hydropower and differentiated price caps for hydro and coal units. Meanwhile, provincial price cap requirements are accommodated. Compatible compensation and cost allocation mechanisms are constructed. Through case verification, it is demonstrated that the deep peak regulation capability of hydropower is further harnessed. Hydro-coal peak regulation services are coordinated despite their cost differences. Market-based peak regulation optimization is enabled. System regulation capability is enhanced and overall costs are reduced. The exceeding of provincial peak regulation price caps by the cost of purchasing regional peak regulation resources is prevented.