Short answers, pulled from the story.
King Henry VIII created the Marquessate of Pembroke for Anne Boleyn on Sunday, the 1st of September 1532. The investiture ceremony took place inside Windsor Castle with land worth over £1,000 located mostly in Wales included in the grant.
Henry VIII chose the Marquessate of Pembroke to link his union to royal bloodlines because the House of Tudor claimed deep roots to that specific earldom. Henry VII, the king's father, was born at Pembroke Castle and Jasper Tudor held the title before it vanished from official records.
The patent of creation granted the marquessate to Anne and her heirs male without specifying legitimacy or requiring birth within wedlock. This omission allowed any illegitimate son Anne might have had to inherit the title unlike standard patents which required explicit legitimation.
Historical records offer conflicting explanations suggesting the title merged with the Crown when Anne married Henry VIII on the 28th of May 1533 or ended via forfeiture following her conviction for high treason on the 15th of May 1536. The latest extinction date remains tied to her death rather than earlier events since she died without producing surviving male heirs.
Sixteenth-century documents often spelled the title as marquesse or marquess while writers sometimes used lady marquesse to describe Anne's status. The Oxford English Dictionary notes these variations in sense three of marquis and a quotation under marchioness shows Latin phrasing like Marchionissa Penbrochiæ.