Is the site known? Are there any remnants?
The construction cost a fortune, and was one of the many dalliances and whims that characterized Henry VIII. He had a real problem being taken seriously, because of his apostasy / protestantism / schism / whatever; one argument he made was that he was better qualified to lead the church in England than was the Pope of that time, having been groomed for the office of Archbishop of Canterbury, where he would have been his elder brother (Arthur)’s right hand. His brother died young, and VIII had to be moved into the position of ruler. And I’d hazard a guess that he wouldn’t have been all that celibate as the A of C anyway. :’)
The cannon on ships of the time were bronze, and they weren’t too reliable, and couldn’t be fired very often, and had a habit of bursting and killing everyone nearby. Because of VIII, the English navy had iron cannon first, and it laid the groundwork for the mighty (and sometimes overrated) British navy of subsequent centuries. Naval warfare was revolutionized, and kept Britain from successful foreign invasion to this day. William of Orange was German, but he was married to Mary II, and had been selected by Parliament to drive out James II.
Anyway, some of VIII projects were spectacular flops, and this palace is an example of it. There are probably foundation stones, unless the whole works was built on pilings driven into the soft ground.