Analysis of information sources in references of the Wikipedia article "Duke of Connaught and Strathearn" in English language version.
Connaught isn't much better. With its close ties to the Republic of Ireland, it wouldn't have made the best choice. The last holder, Alastair, Duke of Connaught, died in 1943 while stationed in Canada with the British army, which seems like it might be a good fit considering Harry's ties to the military. But Alastair froze to death after falling out a window while drunk.
Other available dukedoms had limitations. Connaught is now in the Irish Republic...