There would always be the suspicions that Kathryn had an affair and the baby was not Henry VIII’s. This would have especially been the case when it came to Francis talking about Kathryn’s affair with Thomas Culpepper. The court would gossip that the child—whatever the gender—was Thomas’ and not Henry’s.
Would Henry have listened to them? Let’s look back at his daughter with Anne Boleyn, Elizabeth. There was constant talk that Elizabeth was not really Henry VIII’s daughter. However, Henry never believed those rumors. You could tell from the coloring that Elizabeth was certainly a Tudor. She just had her mother’s stubbornness. There were similar situations with Anne’s next pregnancies. Henry VIII never seemed to believe anything other than these babies were his.
It is possible that he would have done the same with Kathryn, especially when it came to having a healthy son. Henry may have even refused to believe there was an affair, and put it down to a man (Francis) trying to get himself out of the difficult situation that he was in.
Now, if it was a girl, Henry may have decided that the child was one from the affair. Thomas and Kathryn would have still lost their heads—and Thomas may have even faced the harsher punishment of being hung, drawn and quartered. There would have been more “proof” that there was an affair.