Than it would be sort of a Holy Roman Empire set up--Where the King was King of Spain and Germany, or something like that.
You're referring to The Holy Roman Emperor Charles V. Charles inherited the Netherlands (basically modern-day Holland) first, then (when his father died) inherited the kingdoms of Aragon and Castille (which together make up modern Spain). Shortly afterwards he was elected Holy Roman Emperor (ie. he basically got Germany); although this was an elected position, I think there were only about seven electors. From wikipedia:
The Holy Roman Empire was in theory an elective monarchy, but from the 15th century onwards the electors often merely formalised what was a dynastic succession within the Austrian House of Habsburg, with the title usually passing to the eldest surviving son of the deceased Emperor.
So, yeah, he basically inherited half of Europe. So, yes, if one individual does inherit several thrones then those kingdoms will usually be ruled by that person. This was true of Charles. It was also true of the English and Scottish thrones: in 1603 Queen Elizabeth I died, and the throne passed to James VI of Scotland (due to a marriage made between the Tudor and Scottish households about 100 years previously). This is why England and Scotland now form one country; if it weren't for that particular inheritance, it's quite possible they would be separate nation-states today.
On the other hand, it is not always a matter of blind succession. Mary I (the first woman to rule England in centuries) married Philip II of Spain because, if England was to remain stable, she would need an heir to reign after her. However, the English people were so concerned that their country would become a satellite state to a foreign power that they severely restricted Philip's powers: he was to be King in name only. As a result, Philip did not inherit the English throne when Mary died childless.
In this case, Graham is King of Daventry, Alexander is King of the Green Isles and Rosella is married to a prince of Etheria. (Is that last one right? Edgar is the son of the rulers of Etheria, correct?)
So if Graham dies and we assume Daventry follows the English Medieval form of inheritance, Alexander would inherit the throne of Daventry. He and Cassima would therefore be rulers of both Daventry and the Green Isles. But, at this point, Graham is still alive and the Green Isles are therefore not subject to Daventry (though they would naturally get on well diplomatically). If Alexander were to then die, all his realms would pass to his heir - so his son, if he had one - but I suppose that if he and Cassima had no child then things would get rather messy. I suppose Daventry would become Rosella's, but she has no real claim on the Green Isles; I imagine it would pass to whichever male is next in line to the throne in the Green Isles royal family tree. (I don't think it would remain under Cassima's rule, since female monarchs in the middle ages were incredibly rare in England; if the King died and left a Queen then the Queen was just given and income and told to move out and make way for the new monarch.)
On Rosella's side of things, I don't think she and Edgar have much political weight as yet, although if Edgar is the heir apparent of Etheria then I suppose his parents would try to give him some political experience before he took the throne, and would bear in mind that he would one day succeed them. If Oberon and Titania were to die or abdicate then I suppose the situation would parallel that of Alexander's family in the Green Isles, except that any claims made through Rosella would be shaky, since she's a woman.
Bear in mind, of course, that this was not completely cut and dried in Medieval England. Henry VII's claim to the throne was actually made through a woman. After Henry V died, Henry's wife (Catherine de Valois) remarried; this union produced the father of Henry VII. So Henry's claim was that his grandmother had been married to the King of England; this wasn't the best of claims, since this meant he actually had no royal blood in him whatsoever, but with a) lots of soldiers and b) a marriage to Elizabeth of York he managed to carry it off. So if there was ever civil war in Daventry, this would all become relative
So, to sum up, I think Daventry and the Green Isles would end up (eventually) owned by Alexander and Cassima, and both kingdoms would pass to their heirs forever. Etheria would be ruled by Edgar and Rosella, and would pass to their heirs forever. However, at this point they are trhee distinct nations whose rule does not coincide. If Graham wanted, for example, to give the crown of Daventry to some deserving young knight, then that would be perfectly within his power (Alexander would have no say) and would ensure that Daventry continued to remain a kingdom separate from the Green Isles.
