I personally think that Elizabeth marrying Philip II of Spain is a interesting scenario but an unlikely one. Remember that there were numerous catholic marriage proposals for Henry VIII none of them were successful and before you would start talking about how potential brides did not want to marry a 50-year-old king who had his wife beheaded put in mind that Francis I of France was almost excommunicated for planning to arrange his son's marriage to a protestant princess. Also, Anne would never agree for her daughter marrying someone related to the Hapsburgs or Trastámara unless Henry VIII dies in 1547 making his 11-year-old-son King of England and if he was rebellious then he could try to farm an alliance with Charles V against Henry II of France. Elizabeth would probably had a protestant upbringing so she would be reluctent for the marriage unless there was a betrothal between her and Philip when they were kids so she could be raised as a Catholic. Put in mind that Germany had over 50 ruling familes most of whom were protestant and pretty rich so Henry VIII/IX might would want to marry his sisters to some Protestant princes and he could also marry a German princess. I agree with your opinion about Denmark-Norway and Sweden as excluding Germany they were one of few Protestant countries in Europe which could lead to an alliance being formed.
Henry VIII’s Church was pretty much Catholic in worship and that would made Catholic matches far likelier for them respect to a truly Protestant nations. Henry stopped pretty early to listen his wives on the matter of political alliance and weddings of his children (Mary was engaged to the Dauphin of France and Catherine hated the French and wanted Mary to marry one of her relatives). At this point Henry was already going back to the Spanish alliance and the wedding between Philip and Elizabeth was proposed… While in OTL both Clements VII and Paul III excommunicated Henry VIII, neither will go so far to menace to excommunicate Charles V over an English match for his son or made the same manage to Charles or Ferdinand for a wedding between an Archduchess and the Prince of Wales/King of England…
Henry wanted prestigious matches and so would still search to marry his heir to an Habsburg girl, as England at this point would be allied with Spain (as Catherine’s death removed the last obstacle for the renewal of that alliance) and Anne, unlike what you think, would accept such matches because they secured her children succession (guaranteeing who Mary will NOT receive any foreign support). Sure Anne would have liked better French matches for her children, but they have none of the right age for them so…