This might be because a new pope hasn't been elected yet. Wait a turn or so. The papacy might also have a province somewhere that you are not aware of, gifted or something along those lines. Also, I've seen the pope pop up in places other than Italy when all the papal states cities are gone. Spain for example, and other times I had no idea where he was because the region where he probably went was in the fog of war. He might go to where his last city was to to a region controlled by the faction from which he came when elected. This is my experience however, I could be incorrect, all I know is, that in my campaigns, even when all the papal cities were gone, the pope continued to exist (and what every army remained when the last city was gone. I don't think new family members are produced however, though this might change if a city was gifted or taken.
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