The final verse of "No Way," in which Catherine of Aragon sincerely tells Henry that if he truly has a good reason for divorcing her if she's really caused him any pain, she'll accept the annulment and leave with no further hassle. She just wants him to explain a single thing she's done wrong. But, of course, Henry doesn't have a good reason, which just pisses Catherine off even further.
Anne Boleyn's refrain of "what was I meant to do?" starts out cheeky and then grows desperate and terrified, especially combined with the part in the live shows where Anne stops singing for a couple of seconds to panic over her impending execution.
"Heart of Stone," in which Jane Seymour, "the only one he truly loved," makes it clear she is well aware that Henry's love for her would likely evaporate if anything happened to their son. And, tragically, it did, though Jane and Henry were both long dead by the time Edward passed away at the age of fifteen.
"All You Wanna Do", the chronicles of Katherine Howard's extensive experiences of being sexually abused. By the end, she's screaming her lines in anger and desperation, or even sobbing, as the audiences squirm in discomfort. It shows plainly how desperate she is to please the men around her, for them to "tell [her she's] the fairest of the fair". Her exhale at the very end of the song is tired and resigned, as at this point she's finally given up on finding love, and is broken Or it's her last breath. At least once, Aimie Atkinson has ended the song with a loud gasp of shock and pain, then freezing with her head tilted back, simultaneously bringing to mind sexual activity and Katherine's death by beheading. This is made worse by the real Katherine's steadfast insistence, up until her death, that Francis Dereham had raped her - she got executed for something that was not her fault. "Don't care if you don't please me," takes on a darker bent.
All of "Six," if you think about it. The women describe what their lives would've been like if they'd never married Henry, and all of them would've been so much happier. (Well, except for maybe Anne of Cleves, who got a pretty sweet deal in the end in reality as well.) In particular, Katherine Howard imagines a world where she told Henry Mannox to piss off, and decided she didn't need him. It's hard not to tear up a little at the realization of how abused this girl was. And throughout the song, the women sing that this concert, in which they've retaken the narrative and spoken for themselves for once, is only going to last "five more minutes." After those five minutes are up, the show is over and we're back in the real world, where most of these women we've gotten to know and care about met tragic ends, and most people simply remember them for how their marriages ended. Ouch.