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The Duke of Windsor
My personal theory is that it had to do with his anticipated marriage to Wallis Warfield Simpson, who as the wife of a king should have been styled queen. But the (British) public at large, never mind the establishment, would NEVER accept her as such -- let alone address her as "Your Majesty." So perhaps he took on a more modest title, in the hopes that she would at least be accepted as Duchess of Windsor. Unfortunately, she was never styled Royal Highness -- which she should have, and would have, but for the Letters Patent.