James won't be threatened by Catalina, he'll be using her Imperial relations to aid both England and Scotland. She'll be the safest Regent when Margaret is confined (childbirth), being Dowager Queen.
FWIW we know that Henry VII had been ok with the possibility of a Scottish succession.
When someone expressed concern at such a possibility he reportedly said. "This would do no harm. The greater [kingdom] will always draw the lesser" (ie England would inevitably dominate such a union).
I believe Henry VII envisioned that England and Scotland would eventually enter into a union. Which would be a very good reason behind the marriage of Margaret Tudor to King James IV of Scotland.