Well obviously the books written by King Peter and Queen Alexandra are their own autobiographies.
Neil Balfour was once married to Princess Elizabeth. He is the author of the book about Prince Paul, father of his former wife.
I know of no other English language books about the former Yugoslav/Serbian royal family butI cannot imagine any such books would have been in high demand in the English speaking world. The dynasty was not an old one coming to the throne only in 1903 and being toppled with the end of WWII, so there would not have been a lot to write about.