There was also some support for Henry Hastings 3rd Earl of Huntingdon based on his descent from George Duke of Clarence via the Poles. He's Protestant and male, but IIRC Catherine Grey was still the Protestant frontrunner.
What was the contemporary opinion on the legality of Catherine Grey's marriage and the legitimacy of her kid? Was that at all a problem for the Protestant party?
Also, with the Catholics who don't want a foreign ruler there's Margaret Douglas (or her son Darnley)- she was the preferred heir of Mary I and is ensconced in the still-Catholic north with a number of adherents- she was supposedly close with Westmorland (the 6th Earl, his son lead the Rising of the North).