We have three main routes we could go to have England remain Catholic. First, Henry VIII's older brother, Prince Arthur, not dying of a fever in Wales in 1502. According to Wikipedia, Prince Arthur was never a very robust child, so maybe change it so that Arthur is very robust, and he lives long enough to produce children and succed his father as King Arthur I.
The second option are the three sons that Katherine of Aragon bore to King Henry before the birth of Bloody Mary. His first son, Henry the Duke of Cornwall, was born on January 1 1511 and died on February 22 1511. His second son, who was unnamed, was born and died in November 1513, and if he survives, let us call him Arthur. Henry's third son, also Henry the Duke of Cornwall, was born and died in December 1514. He had a fourth son by Anne Boleyn born and died on January 29 1536, the younger brother of the future Queen Elizabeth. If any of these four boys had lived, Henry would have had an acceptable heir.
Our third choice is with Queen Mary or Elizabeth. If we go back nine months before their births, we could change which every way the sperm went to create a male heir for King Henry. Mary would be the more acceptable choice because she was the eldest and final child of Katherine of Aragon. If she was born a boy, she would most likely be named Henry the Duke of Cornwall, and would become King Henry IX in 1547 after Henry VIII dies.