In “Anne of the Thousand Days” Henry goes to visit Anne at the Tower. I know that is not documented however is there the possibility that it could have happened?

That is a wonderful scene and what a speech Genevieve Bujold gives as Anne! However, it did not happen in real life. There is no evidence that Henry VIII saw Anne after her arrest on the 2nd May and it surely would have been recorded somewhere. It's a shame that Anne never had chance to talk to him and put her side across.