A portrait by Hans Holbein, for centuries in the possession of the Cromwell family, was identified by Sir Lionel Cust in 1909 as Catherine: Portrait of a Lady, Probably a Member of the Cromwell Family (1926.57) is held by the Toledo (Ohio) Museum of Art.
One other possibility is that the portrait shows Henry's Scottish niece, Lady Margaret Douglas, the mother-in-law of Mary, Queen of Scots.