Catherine told Henry that she was pregnant in the previous episode. He was clean shaven. In this episode her stomach is still flat so she is not far along and Henry has a full beard which he would not have been able to grow in such a short period of time.
Catherine is shown having a miscarriage shortly before Edward Stafford was executed. Her stomach was also not big the baby was not far along. In real life Catherine's last pregnancy and miscarriage happened in 1518 and she was about eight months pregnant which was 3 years before the death of Edward Stafford in 1521.
Henry states that Edward Stafford, Duke of Buckingham had three sons. The real Edward Stafford only had one son Henry Stafford who married Ursula Pole.