fiance Henry VIII of England.
King Henry VIII and Anne Boleyn - Source picture: Wikipedia
However it is not sure how the title Marquess of Pembroke ceased to exist.
There are 3 possibilities:
1: It may have merged by the crown on the day of her marriage;
2: It may have been forfeited on May 15th. 1536, when Anne was
declared guilty of high treason;
3: It may have been extincted on Anne's death, without male heirs on
May 19th. 1536.