I always asked why did Anna stayed in England after Henry VIII got divorced of her, He didn't
imagine that his wife wasn't as beautiful as she looked in her portrait. Poor lady.
I think she was happier to stay in England, where her divorce settlement left her an extremely wealthy and independent woman, with her own homes and property. I think she would have lost some of her settlement had she returned to Cleves. But I think there was no incentive for her to return home, where she would have been under her brother's control once again, rather than have the freedom she obtained as an honoured "sister" to the king, where she could visit court on occasion, see her (ex) stepchildren (who were fond of her), and live her own life.
I don't think she was an especially pitiable person- think she fared rather well, under the circumstances.