Depends on your definition of loyal, and the very end - but, if we take 476 CE (with the deposition of Romulus by Odoacer), the provinces 'he' ruled over directly were composed of Italy, some of southern gaul, and parts of the balkans. Additionally, there was the domain of soissons, which was a rump state within Gaul that persisted for a bit after 476 - but due to geographic isolation, more or less ruled itself (as far as I understand it), just theoretically still subservient to the Roman Empire.

Though, for many of the population within the borders of the 'former' western empire - they would still have considered themselves Romans, well after 476. For example, Odoacer would declare himself solely a patrician, ruling for the emperor in Constantinople - keeping the senate around, etc. The trappings and traditions of the roman empire would live on in the daily life of the people and their institutions