I think what made him mortified was her reaction to seeing him.
The first time they met, Henry decided he’d play one of his romantic little jokes. He used to dress up as Robin Hood or as a highwayman and burst into Catherine of Aragon’s chambers and demand to dance with the queen. She was always *so surprised *that the tall man who looked just like the king turned out to be her husband.
When Henry went to meet Anne of Cleves, he did the same thing-- he dressed up like a poor bum and entered her chambers. Anne was watching a bear-baiting below her windows, and did not pay the bum much attention. Henry was incensed. Firstly, she wasn’t playing along with his game, and secondly, the “eyes of love” should have seen through his disguise. He went to another chamber and changed into his kingly robes, and confronted her again. I imagine the expression on Anne’s face when she saw that this fat, uncouth, pouting man was to be her new husband was what turned Henry off.
There was no reports of Anne’s “ugliness” until Henry announced his distaste for her. (There was one report from an ambassador that said he didn’t think her as pretty as his companions did, but he never said she was actually ugly.) As soon as Henry said she was repulsive, everyone hastened to agree.
Anne knew there were bad tidings in the wind, and was intelligent enough to cater to the king’s whims. He announced he could not consummate his marriage (but assured his doctors it wasn’t because he was impotent by saying he had not only one but *two wet dreams that night.) Anne played along. When Lady Rochford (the sister-in-law of Anne Boleyn who accused her husband of incest with the queen) asked her if a baby would soon be on the way, Anne assured her it would-- the king kissed her on the cheek each evening before he went to bed. Lady Rochford replied that a kiss wasn’t enough. Anne pretended ignorance.
Anne of Cleves was the luckiest of all Henry’s wives. Her submission to the annulment request pleased him, and he gave her the title of “King’s Sister” as well as a fat pension. By all accounts, she led a happy life, remaining in England since she was no longer a valuable marriage pawn.
She was a bit insulted when Henry married the low-born Catherine Howard, and may have hoped after the execution that Henry would re-marry her, since they were getting along so well, but he moved on to Catherine Parr.
*I say pretend, because sexual ignorance in women was not valued as it was in later times. It’s highly unlikely she did not know how babies were made.