This guy (http://en.m.wikipedia.org/wiki/James_Harden-Hickey) stumbled onto the uninhibited island of Trinidad (in the South Atlantic, not the Caribbean) and declared himself Prince, but the British seized it a year later as a telegraph station.
Hmm... I am very tempted to put this guy in a better fate in my timeline... Thanks for pointing him out!
Let's see... how about a person who might have been a Austrian White Rajah, but failed?
Meet Baron Von Overbeck, a German businessman, adventurer and diplomat who became the Austro-Hungarian Consul to Hong Kong in the 1870's. In the mid-1870's he and his British partner managed to aquire the lease to Western Sabah from Torrey (yeah, that Torrey) and was even conferred the title "Maharajah of Sabah" and "Raja of Gaya and Sandakan"; a new White Rajah, and an Austrian German one at that! Overbeck and his partner then negotiated with the sultan of Sulu to get Eastern Sabah, thus unifying the region under one ruler after centuries of wrangling between the sultanates.
Sadly, due to the Spanish and British meddling in the region (the Spanish wanted Sulu), Overbeck underestimating the cost of building a colony, and land reparation payments (Brunei wanted $12,000 per year while Sulu wanted $5,000), Overbeck had no control over the region at all. He went to Europe and asked for foreign help, but was rebuffed; Austria-Hungary was not interested, and neither was Italy and Germany. In the end, he transferred his rights to his partner who formed the British North Borneo Company.
...Looking at all of the examples, I think it's amazing that James Brooke managed to start his kingdom at all. According to my local textbooks, he was supported by the people for crushing a rebellion in Kuching, he had the protection of the Royal Navy during Sarawak's infancy, he had rich donors and benefactors throughout his life from super-rich heiresses to British Parliament members... it's just amazing.
And damnit! Austo-Hungarian Sabah just sounds soo cool!