In the most simple example they’d be the heir to both thrones, but it wouldn’t magically mean that Spain and the UK are now the same country. The same person can occupy multiple thrones, and merging of the sovereignty/kingdoms could only happen with the agreement of the governments of the two countries.
Scotland and England had the same monarch for years but were separate kingdoms for a while before they finally merged into one kingdom/country
It hasn’t really happened in modern times but I suspect the relationship between the two kingdoms would work roughly how the relationship between commonwealth realms work–IE: Canada vs. the UK, where Charles is King of both, but they’re each separate and independent kingdoms at this point
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