I can't say that I have delved very deeply into Henry VIII's progresses but his 1535 progress to the West Country with Anne Boleyn did not include Cornwall. Here is the itinerary:-
"[The King's g]estes the xx[vii. year of] his reign, from [Windsor to] Bristowe.—Monday, 5 July, Windsor to Reading, and there Tuesday and Wednesday, St. Thomas Day; three days, 12 miles. Thursday, 8 July, Reading to Ewelme, and there Friday, 2 days, 10 m. (In the margin, [M]yssenden.) Saturday, 10th July, to Abingdon, and there till Monday, 3 days, 8 m. (In the margin, ... arringden [p]ark, [W]odstock.) Tuesday, 13 July, to Langley, and there till Friday, 12 m. (In the margin, .... wnell.) Saturday, 17 July, to Sydley, and there till Thursday, 14 m. (In the margin, ..... mbe .... aylles.) Friday, 23 July, Sedley to Tewkesbury, and there till Monday, 7 m. (In the margin, ...... gtor the .... ttes place.) Tuesday, 27 July, Tewkesbury to Gloucester, and there till Sunday, 7 m. (In the margin, ...... eyerd the .... ttes place.) Monday, 2 Aug., Gloucester to Berkeley Heron, and there till Sunday, 15 m. (In the margin, ..... Pointz.) Monday, 9 Aug., Berkley Heron to Thornbury, and there till Monday, 5 m. (In the margin, [Mr. W]alshes.) Tuesday, 17 Aug., Thornbury to Bristowe, and there till Friday, 10 m. Saturday, 21 Aug., Bristowe to Acton, Mr. Poyntz's place, and there Sunday, 7 m. Monday, 23 Aug., Acten to Mr. Walshe's, where he dwelleth, and there till Wednesday, 6 m. Thursday, 26 Aug., from Mr. Walshe's to Bromham, and there till Wednesday, 12 m. (In the margin, .... stock.) Thursday, 2 Sept., Bromham to Whofall, there till Monday ... m. Tuesday, 7 Sept., Whofall to Thrukstone, there till Thursday, 12 m. Friday, 10 Sept., Thruckeston to Pryor's Horsborne, and there a night, 8 m. Saturday, 11 Sept., Priors Horsborne to Winchester, and there till Wednesday, 10 m. Thursday, 16 Sept., Winchester to Bishop's Waltham, and there till Tuesday, 7 m. Wednesday, 22 Sept., Waltham to Alsford, 7 m. Thursday, 23 Sept., Alsford to Alton, to dinner, that night to Farnham, and there till Sunday, 14 m. Monday, 27 Sept., Farnham to Esthamstede, and there till Thursday, 12 m. Friday, 1 Oct., from Esthamstede to Windsor, and there during the King's pleasure, 6 m." LP viii.989
There's an interesting article on Henry's progresses at http://www.hrp.org.uk/Resources/Glen%20RichardsonFINAL.pdf, but again Pendennis is not mentioned,
The building of Pendennis was not started until 1540 but I can't find any record of Henry and Anne visiting the area together to discuss it. Sorry I can't be of more help.