I don't know exactly what happened, but here goes:

I see an enemy city with what looks like a sovereign inside. I attack and win. The battle report says I bet a city guard.

At this stage, I think what I saw was not a sovereign but a guard and take the city, decide to build stuff inside, all cool and works. I order a 10-guards unit to be built and move on.

Later, I see that there is a unit I do not control in the city. It's the sovereign whom I saw initially. I suspect the battle I fought was against a newly built guard and the sovereign got ignored.

Sovereign didn't move.

When my guards finallly get built, I click them out of the city, go back inside, and fight the sovereign and kill him.

It looks like if there are 2 units in a city, maybe if 1 of these is jsut being built, the city is conquered when defeating only one unit?