] 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"?
I'm sorry to say you're incorrect. Col. Fitzwilliam is only the younger son of an Earl, not the eldest and heir, so he is not a Lord, only by courtesy Hon. Mr. or in this case Hon. Col. To be called Lord Firstname Surname, he had to be at least son of a Marquess.
You could clear the confusion at the L&T FAQ's, there are two main links there which will explain all this about nobility, titles and honorifics. In particular, Laura Wallace's page on British titles (link below).