Hi,
I see this thread is from 5yrs ago, but I just discovered it when searching for 'Margaret Lorking', and have a bit more info, if you're still looking?
My 4th great-grandfather is an Edward Collen (1781-1865), brother to your ancestor Margaret Collen (Lorking). The only direct reference I've found to this is his will, which states:
"the sum of two hundred pounds to my sister Margaret Lorking, the wife of ---- Lorking of Charles Street Saffron Garden, provision for her own absolute use and benefit..."
but the 1841 census does include a Margaret Collen age 16 (not 100% sure if she's Edward's daughter) staying with the Margaret & William Lorking family, so the connection is there.
I've not been able to find Edward & Margaret's parents though. He states he was born in Cork, Ireland in censuses, but brings his family up in Albury, Surrey, where there are other Collens going way back. A Margaret Collen was baptised nearby in Godalming on 12 Feb 1786, which could be her (she would then be 10 yrs older than her husband and lie on censuses though).
To add to the mystery, Edward died in Baden, Germany, at his son-in-law's house (Wendelin Kleyser), and there seem to be a lot of Collens in Baden too. So I'm not sure whether their parents came from Cork, Surrey or Baden!
You are right about the Catholic connection though. Edward bought land to have a church built in Guildford, and one side of the family is still very involved with the church today.
If you've discovered anything else in the meantime, I'd be very interested.