no, she didn't break down. at least, that's not how history recorded it.
one of her ladies went totally mental, however, to the point where henry had to get special permission to have her whacked because she was rended a bit insane but it all.
katherine did ask for hte block to be brought to her room the night before her execution, so she could practice laying her head on it.
the worst excution by far, however, as that of the countess of salisbury, whose son, then living in exile in france, REALLY pissed off henry.
she moved and the ax missed and basically she was sort of hacked to death.
anne at least had the benefit of a swordsman from France, although he was delayed en route to London and she had to wait an extra day to have her head chopped off.