There are two possible answers for this question:
1. 'The Flanders's Mare', in which Anne of Cleves was likened to a horse, may have not actually been said by Henry VIII but instead one of his courtiers. Despite it's origin, the Princess of Cleves received the name whilst in Henry's court.
2. 'The King's Sister', Henry was grateful to Anne of Cleves for being so agreeable when he sought a divorce; as such he bestowed the honorable title of "King's Sister" on her.
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