According to wiki (Crown dependencies),
The Crown dependencies are three island territories off the coast of Great Britain that are self-governing possessions of the Crown: the Bailiwick of Guernsey, the Bailiwick of Jersey and the Isle of Man.
So, dependency is some kind of territory.
Another wiki page (The Football Association) says
The Football Association (FA) is the governing body of association football in England and the Crown dependencies of Jersey, Guernsey, and the Isle of Man. Formed in 1863, it is the oldest football association in the world and is responsible for overseeing all aspects of the amateur and professional game in its territory.
Is it still idiomatic if I substitute dependency for territory?
How about another case?
Jersey is a self-governing dependency of the United Kingdom.
substitute dependency for territory, we get
Jersey is a self-governing territory of the United Kingdom.