I couldn’t find any mention of an RAF Catalina being lost?

The honours for the destruction of U-966 seem to be shared between:

Wellington IX ‘B’ of 612 Squadron (Gunn) that made the first sighting and dropped six depth-charges.

B-24 Liberator ‘E’ VPB 103 Squadron USN (Wright) that relocated U-966 and dropped six more depth-charges.

B-24 Liberator ‘E’ VPB 110 Squadron USN (Parrish) dropped six more depth-charges.

Liberator ‘D’ of 311 Czech Squadron (Zanta) that attacked with four rockets (four failing to fire).

All information from the excellent ‘Search, Find and Kill’ by Norman Franks.