I hear the historical nugget of Delaware actually being a part of Pennsylvania relatively often. Delaware consisted of the lower three counties of Pennsylvania until 1776 when it broke off ties with Pennsylvania and England simultaneously. I guess that this question has a lot to do with the historical conventions of how we consider what was and was not its own colony along with the practical differences. Delaware had its own legislature by 1701 but shared a governor with Pennsylvania over its entire colonial existence, is that enough to be considered merely an autonomous part of Pennsylvania? If so, should New Hampshire and New Jersey be considered part of Massachusetts and New York respectively when they shared governors?
Delaware was first colonized by the Dutch, and was a separate entity from Pennsylvania. After it was conquered by the English, William Penn (holder of Pennsylvania) bought the rights to Delaware, thus becoming owner of both colonies.
The position of governor was not something elected by the people, as one would find today. Governors were appointed by the colony owner, and as Penn owned both colonies, he simply appointed one governor to cover them both. Just as Queen Elizabeth is recognized as queen of England, Northern Ireland, and "her other realms," without implying that all her realms are one country, the governor could be governor of multiple colonies whilst they still remained distinct entities.