It may not be a kingdom in the strictest sense-- changelings are more or less an anomaly of nature, living in underground burrows like animals. Starswirl the Bearded wrote that they originated "from a carnivorous plant that grew from a rotten acorn that fell into a magic pond under a cemetery". Queen Chrysalis' title may be self-conferred; she seems more like the leader of a rogue band of misfits than true royalty.
That makes perfect sense too. What I still don't get is if there are more Changelings around the world from other groups not related to Chrysalis... is she like their mother too? There are probably other "Queen Hives" out there in the world.
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