Shortly before 5 p.m. on Saturday, September 1, 1928, Europe gained a new kingdom and its only Muslim king: 32-year-old Zog I of the Albanians. Few foreign journalists were present in the Parliament House in Tirana to hear him swear his oath on the Koran and the Bible, yet the birth of the Kingdom of Albaniaa native monarchy, not an alien impositiondid not go unnoticed abroad.

King Zog (18951961) was a curiosity, and so he has remained: the most atypical European monarch of the twentieth century, a man entirely without royal connections who created his own kingdom. By contemporaries, he...