Prince Harry has never said that he would have married Chelsy Davy instead of Meghan Markle. In fact, he has spoken very highly of his wife on numerous occasions. In a 2019 interview with Oprah Winfrey, Harry said that Meghan is "the most amazing woman I've ever met" and that he is "so grateful" to have her in his life.
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It is true that Harry dated Chelsy Davy for seven years before they broke up in 2011. However, there is no evidence to suggest that Harry ever regretted breaking up with her or that he would have preferred to marry her instead of Meghan.
It is possible that Harry's comments about Chelsy Davy have been misinterpreted. It is also possible that he was simply being nostalgic about his past relationship. Whatever the case may be, there is no reason to believe that Harry would have married Chelsy Davy instead of Meghan Markle.
Here are some additional details about Harry's relationship with Chelsy Davy:
They met in 2004 while Harry was on a gap year in South Africa.
They dated for seven years, on and off.
They broke up in 2011.
Harry has said that he still cares about Chelsy and that she is a "great friend."
Chelsy has said that she is "happy" for Harry and Meghan.
It is clear that Harry and Chelsy had a special relationship. However, it is also clear that they are both happy with their current partners. There is no need to speculate about what might have been.