More can be written, but you might start with "Why do Swaziland and Lesotho exist?" by /u/khosikulu .
There are more details in the two discussions linked to:
"Why did Lesotho and Swaziland not become part of the Cape Colony?" , with more by khosikulu but also /u/HippopotamicLandMass and /u/Evanescent_contrail .
"Why was Lesotho never annexed by South Africa?" , with more by khosikulu but also jay-hawk and LickMyUrchin.
This is not to discourage discussion. More questions, data, and debate are welcome.
Apart from my answers in the longer threads, the short response is that there were several trial balloons floated for the appending of Lesotho to part of the future South Africa or, later, South Africa itself following the initial creation of the Basutoland Protectorate in 1868. The one I know best is the 1871-1884 handover of administration to the Colony of the Cape of Good Hope, which attempted to put its settler-driven laws (new taxes, courts, disarmament, etc) in place and begin partitioning 'excess land' and concessions for settler and capital interests. The result of this, and the accompanying actions against the Sotho leadership, was a series of small risings and acts (like Morosi's [edit: fixed] Rebellion in 1879) that culminated in the 1880-1881 Sotho Gun War. With the advantage of terrain, they were able to hit and run, and thereby make it so costly for the Cape to pursue conflict that the imperial government brokered a backing off; eventually the threat of renewed rising was great enough that Britain restored it to direct protectorate status and administered it through its own authorities and the High Commissioner. That's how it remained until independence (1966).
Later plans to join Lesotho to South African colonies after the SA War, and then the Union of SA after 1910, never really got past the planning stage, because baSotho were very adamant--as were baTswana in Bechuanaland (Botswana) and emaSwati in Swaziland (eSwatini) --that any attempt to hand their lands and lives over to the increasingly racist settler government would result in a mass rising orchestrated by the local authorities. Estrangement between the British and the South African governments also made it politically unpalatable at home; after the advent of apartheid proper, it was unthinkable across the Empire and then Commonwealth. So handing these territories over would have been bloody, costly, and terrible for PR. It also wasn't necessary to take them over, because over time the natural center of gravity for migrant labor exerted its pull and these areas served (and still serve) as key labor reservoirs. Unlike the artifices of the Bantustans, nobody ever questioned the territorial integrity of Lesotho, eSwatini (Swaziland), or Botswana as kingdoms, even though the colonial era greatly shifted how their internal politics operated and made them more unitary than otherwise had been the case before the 1880s. (The same can be said of kwaZulu despite its absorption; Mahoney's The Other Zulus [2014] is excellent on the recency of Zulu identity and its formulation.)