This question already has an answer here:
Pro-Russian separatists, some of them armed, have seized about a dozen official buildings in eastern Ukraine. They say they are rising up against a Ukrainian government they say is illegitimate, but Kiev says they are proxies of the Russian government bent on destabilizing Ukraine.
Why is there no that connecting the two parts of the sentence: everything before against a Ukrainian government and after they say is illegitimate?
So, I would rather prefer to read it like this:
They say they are rising up against a Ukrainian government that they say is illegitimate...