A lot of little royals have/had their own house:
Queen Elizabeth's little house is called Y Bwthyn Bach and was a gift of the Welsh people:
A Wendy house fit for a Queen: The secrets and history of the tiny Welsh cottage in the grounds of Windsor where generations of royals have played | Mail Online
The swedish Haga princesses and King Carl Gustaf and now little Estelle
Playhouse for King Carl XVI Gustav and his sisters they got of Grandfather King Gustav V in late 1940´s | Flickr - Photo Sharing!
Playhouse i the garden og Haga Castle | Flickr - Photo Sharing!
A little cottage at Solliden Slott (but I'm not sure wether this is a playhouse or not)
Solliden | Flickr - Photo Sharing!
Princesses Margaretha, Martha (became Queen of Norway) and Astrid (became Queen of Belgium) first had a wooden yellow house and later a white plaster one at their home Villa Fridhem.
Lekstugearkivet/Archive for children's playhouses.htm
(you have to scroll down a bit)
The playhouse Queen Astrid of Belgium had built for Joséphine-Charlotte, Baudouin and Albert in the gardens of the Castle of Laeken after her own in Sweden. It was used to celebrate Princess Elisabeth's first birthday in 2002.
(scroll down a bit)
Princess Isabella of Denmark's little house at Fredensborg
Danish Royal Watchers: Isabella's new playhouse