The 62-year-old Crown Prince was himself born in exile, although not technically. In the sort of diplomatic maneuvering that seems entirely of a different age, the British government in the 1940s went to great lengths to assure that Alexander II would be born on Yugoslav soil, according to the Crown Prince's official bio:
On 17 July 1945 while living in Claridge's Hotel, Queen Alexandra gave birth to a son - HRH Crown Prince Alexander II of Yugoslavia. Crown Prince Alexander, the heir to the throne, was born on Yugoslav territory as the British Government under the orders of the Prime Minister Sir Winston Churchill declared suite 212 in Claridge's Hotel Yugoslav territory. His Holiness Patriarch Gavrilo of Serbia baptized the newborn Crown Prince in Westminster Abbey with Godparents King George VI and HRH Princess Elizabeth (now HM The Queen Elizabeth II).
A Brit I've met here wondered aloud if that designation of Suite 212 in Claridges has ever been revoked. A very good question. If not, would that make it the only Yugoslavia that still exists?