It's not like Henry VIII of England's heirs were big one protecting Catholicism throughout the next generation. Edward VI of England, his only son by Anne Boleyn, may have been nominally Catholic, but there's a reason his only daughter married into the
very Protestant Danish monarchy (who lost their throne in 1582). Hell, he sheltered the Protestant Oldenburg royal family from 1584 to 1595, only agreeing to exile them after his daughter's death. It's obvious that he was at least interested in the Protestant religion early in his reign.
However, it is important to note there also that Edward did, in fact, accept the rise of the House of Lorraine to the Danish Throne. While protecting the previous royal family, he never spoke out publicly against Queen Christina, nor her son King Charles. Edward VI of England was also instrumental in the marriage between his niece, the former Princess Margaret of Denmark and Prince Christian, heir to the Danish Throne. Some of his children even shared blood with the new Royal family, due to his second marriage to Elisabeth de Valois, the sister to Queen Consort of Denmark, Claude de Valois.
Henry VIII of England, I of Ireland, I of Scotland (b.1491: d.1547) m. Catherine of Aragon (b.1485: d.1536) -annulled 1530-, Anne Boleyn (b.1501/1507: d.1552) (b)
1a) Stillborn Daughter (c.1510)
2a) Henry Tudor, Prince of Wales (b.1511: d.1511)
3a) Stillborn Son (c.1513)
4a) Stillborn Son (c.1515)
5a) Mary Tudor (b.1516: d.1558)
6a) Stillborn Daughter (c.1518)
7b) Edward VI of England, I of Ireland, I of Scotland (b.1531: d.1599) m. Mary Stewart (b.1542: d.1561) (a), Elisabeth de Valois (b.1545: d.1578) (b)
1a) Charles I of England, Ireland and Scotland (b.1560: d.1609) m. Anna Maria of Brandenburg (b.1567: d.1610) (a)
2a) Anne Tudor (b.1561: d.1595) m. Frederick II of Denmark and Norway (b.1534: d.1588) (a)
1a) Margaret of Denmark (b.1582) m. Christian IV of Denmark and Norway, Duke of Lorraine (b.1563) (a)
2a) Anne of Denmark (b.1585: d.1587)
3b) Edward Tudor, 1st Duke of York (b.1567) m. Catherine de Bourbon (b.1559: d.1604) (a)
1a) William III of England, I of Ireland, I of Scotland (b.1583)
4b) Catherine Tudor (b.1570: d.1623)
5b) Margaret Tudor (b.1575) m. Henry IV of France (b.1553: d.1610) (a)
1a) Marie de France (b.1598)
2a) Elisabeth de France (b.1600)
3a) Louis, Dauphin de France (b.1601: d.1609)
4a) Nicholas, Duc d'Orleans (b.1604: d.1608)
5a) Henri V of France (b.1605)
6a) Marguerite de France (b.1607)
7a) John, Duc d'Orleans (b.1609)
8a) Louis, Duc d'Anjou (b.1611: d.1613)
8b) Stillborn Son (c.1532)
9b) Elizabeth Tudor (b.1535: d.1536)
10b) Stillborn Son (c.1536)
11b) Stillborn Son (c.1538)
12b) Stillborn Daughter (c.1541)