And who made that rule? Who changed it? Was not Henry VIII Catholic? And all before him?
The usual rule in England is that the sons of the reigning monarch are first in line to the throne, followed by the daughters. In Henry VIII's case it was complicated by his divorce of Catherine of Aragon and his beheading of Ann Boleyn, but before his death he ordered that all three children by his wives be in line for the throne--Edward as the only boy, then his two daughters in order of age.
Lady Jane Grey was a granddaughter of Mary, the sister of Henry VIII. As long as two of Henry's daughters were around it was hard to make the case that she was the rightful queen.