Maybe something to do with the Royal Family being German. Windsor isn't their real name. That would be Saxe Coburg Gothe. They changed it due to anti German feelings in the country, just prior to WW1..
Prior to this the Royals were the house of Hannover, guess where they came from. Mad King George's son, the sock losing Prince Regent had a ponchant for the military, and gave them the right to wear his feathers as a sign of his patronage to those raised in his honour.