All the answers are actually wrong here. My relative had the same situation; married religiously, had a big ceremony, and all the other fun stuff, but never thought they needed a marriage certificate from the government. However, when registering for the DV lottery they entered as married since they didn't feel they were singles. They had all the proofs that their marriage was genuine accept for the gov marriage certificate. They even have a child since their marriage. However, the CO denied their visa saying they were registered as officially married before the selection and that the marriage certificate was received after they were selected. I am not sure how other people with similar situation got their visas. And I am not sure if the applicant can now submit DS-260 as single since they had entered as married before and submitting as married will create issues either.
