Would Anne become Lady Fitzwilliam if they married? I presume that Lady Catherine is "Lady" because her father was an earl, and that Col Fitzwilliam's father was her eldest brother. Logically, then, Col Fitzwilliam is "Lord" as he is also an earl's child, and his wife would be "Lady".
If I am correct in all this, it is interesting that he is "Colonel Fitzwilliam", not "Lord Fitzwilliam" or "Colonel Lord Fitzwilliam." What were the rules for which title took precident? Was it a matter of choice, and if so what does it tell us about Col Fitzwilliam's personality that he chose to be "Colonel"?