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User logged in as Johan
The current titular Duke of Parma and Piacenza married after his father lost his battle against cancer so both daughters and the prince of Piacenza all three were born while their father was already titular Duke.
All the children born to King Leopold I of the Belgians and his second wife would count, since he remarried after his accession to the throne.
Montenegro: all the children of Prince (later King) Nikola
Bulgaria: all the children of Prince (later Tsar) Ferdinand of the Bulgarians
Romania: the only child of Prince (later King) Carol I, a daughter who died in childhood; the daughters of King Michael I were all born after their father was deposed
Yugoslavia: all the children of King Alexander I Karageorgevich; Crown Prince Alexander today might count, but for the fact that his father (King Peter II) was in exile, and soon got deposed. I'm less certain about the house of Obrenovic.
Parma: the younger children of Filippo, the first duke; all the children of his son and successor, Ferdinando, the second duke. The situation with his successors is less clear (I'm confused about the other thrones affiliated with the dukes, such as Etruria)
I'm less certain about the smaller German dynasties, such as the grand duchies, duchies, and principalities.