The end of the Last Zeppelin…
As their zeppelin began to break apart on its doomed mission to Over Here, Walternate, Bolivia and Henry evacuated the destroyed gondola and desperately tried to hang on inside the envelope of the ship. It is certain that Bolivia did not survive, but in that place beyond all universes where all possible timelines converge, I don’t think anyone can really say for sure what happened to little Henry. (Walternate was rescued by the Coast Guard in New York Harbor, the sole survivor of the crossing, and of his world.)
Of course, when Peter’s consciousness returned to 2011 and he made a different choice with the Machine, this tragedy in the Redverse never happened. The Redverse was not destroyed… except for Henry, who supposedly never was born. But on Fringe, it’s been pretty well established that all possible timelines may be happening simultaneously, and that laws of causality are not well understood, even by the Observers themselves. Who is to say that what happened to Henry in the original sequence of events didn’t hurl him into a place where the ordinary laws of causality had no effect on him?
That’s one scenario for Henry Bishop still existing. Another is the precedent already set: that a nonexistent person can be unconsciously loved back into existence, the paradox that brought Peter back out of Reiden Lake.