In fact, ECB research has shown that for many emerging markets with pegged or managed exchange rates it made a lot of sense to hold a sizable fraction of official reserves in their “anchor currency” which is often the dollar. 2 The underlying reason is not that these central banks necessarily have to intervene in their anchor currency.
It is again portfolio theory applied to international bond portfolios that suggests that a country with a pegged or tightly managed exchange rate would overweight assets denominated in the anchor currency because they have a low variance in local currency terms and thus carry little risk.