Because Prince Charles was - and still is - the Prince of Wales
when she married him.
Her name was never Princess Diana. He correct title was Diana,
Princess of Wales.
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If you mean Diana, the Princess of Wales. She is dead.
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Diana became HRH Princess of Wales when she married Prince
Charles on July 29th, 1981. After the divorce in 1996 she had to
give up the HRH (Her Royal Highness) and became Diana, Princess of
Wales. She was never officially called Princess Diana.
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Diana, Princess of Wales
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No she was not the first Princess of Wales. The title Prince of
Wales was established in 1307 by Edward I. There have been 10
Princesses of Wales since it was established and Diana was the
9th.