This is from the wiki but its outdated I think:
"Requires starting the game as Anglo-Saxon or Saxon, but does not require remaining such. Since the Kingdom of Saxony only exists in 769 and the Catholics surrounding Saxony are very strong, it may be easier to start this as an Anglo-Saxon and create the Kingdom of England and then work into Saxony. Note that creation of the Kingdom of Saxony title requires Saxon culture (not Anglo-Saxon). Alternatively: As Saxony, survive the initial attack by letting attrition wear away Charles. Then subjugate Denmark and culture-shift to Norse for the free boats. Once the Germanic coastal CB becomes available, conquering England is easy."
http://www.ckiiwiki.com/Achievements
Edit:Oh nevermind this is reffering to the achievment and your question is about the kingdom.
I think, thiiiiiiiink they made it so that anglo saxons can create the kingdomt in a later patch and the tool tip does suggest this. So I don't think that's your problem?
Do you control the entire county of Anhalt every barony? Where did you see this requirement for Anhalt?