They don't. Saxe-Coburg-Gotha was a duchy loosely connected to Prince Albert of England (the one in the can). Even then, the nature of the "diplomatic recognition" by the Vatican is a reach.
Only "loosely connected," capitan? Prince Albert was born in Coburg. He was the second son of Ernst I, ruler of Saxe Coburg and Gotha from 1826 to 1844, and brother of Ernst II, ruler from 1844-1893. Albert was about as "loosely connected" to Saxe Coburg and Gotha as George W. Bush is "loosely connected" to Texas.
It would seem from this post then that your penchant for artificially exaggerating, qualifying, and distorting factual matter in these discussions to bolster your position extends to even the simplest undisputed events. In this case you attempt to belittle Saxe Coburg and Gotha's nationhood by falsely and unnecessarily diminishing its connection to its most famous offspring. In others you have attempted to artificially elevate the status of extraneous material and dissents to Supreme Court rulings and portray a one night campout at an abandoned fort in west texas as a great demoralizing military "capture" for by yankees. Put another way, you cannot even repeat a simple fact without distorting its reality in a way that is designed to artificially bolster your predetermined position.
Even then, the nature of the "diplomatic recognition" by the Vatican is a reach.
If St. Eustasius is good enough for the United States in 1776, Saxe Coburg Gotha was good enough for the Confederate States in 1862.