It's the same as forming any other empire. Everything you own is part of your empire including the Pope.
Yeah, similarly the Ecumenical Patriarch of Orthodoxy is always a vassal of the Emperor of the Byzantine Empire.
ORLY?
What if the Byzantine Empire falls but Orthodoxy remains? WHERE'S YOUR GOD (STAYING) NOW?
The Patriarch continues to reside in Constantinople, even if the Byzantines fall and/or Constantinople falls to the Muslims.
After all, if you've a Patriarch in Constantinople, he'll be waiting in Istanbul.
Likewise, all the other Patriarchs (Antioch, Alexandria, etc.) continue their residence even though their lands are Muslim.
What's interesting is that the Pope will often relocate if Rome falls, but I have a game where the Lombards became Orthodox, and eventually the Pope wound up back in Rome even though the Papacy doesn't hold and land there. I think there's an event chain that ensconces the Pope back in Rome as long as the owner of Roma is Christian, and I guess Orthodoxy counts in that respect.
Now when Rome fell to my Zikrid dynasty, and I converted the province to Sunni Islam, the Pope hightailed it for some German monastery or other. And then it was nothing but endless Crusades from the HRE and their Doomstacks of Doomy Doom. Thank
God Allah for the Alps is all I'm saying.