There are a few books on Anne of Cleves. Anyanka or Sharon would know better than me, they are 2 very wise old owls. David Starkey’s account of Anne in his book the 6 wives of Henry 8th, gives a good insight into Anne however.
You are right about Anne’s life being much harder after Henry died in fact at one stage she was forced to write to her brother for money. If she got it, is another matter.
Anne converted to Roman Catholism although I don’t know exactly when, I’m guessing that it would have been either the last few years of Henry’s life or early in Little Eddy’s reign. She and Elizabeth shared a coach for Mary’s coronation, and she was well liked by the people. She was buried with full honours in Westminter Abbey when she died in 1557, and her tomb is located under the altar.