Any province that is "overseas," meaning outside of your capital continent. If your capital is Rome, a colony would be any province not in Europe. Although I've never had this for North Africa, so I might be technically wrong with that. You can only demand provinces that border your own colonies, and I believe another prerequisite is to have a neighbor for one of your colonies to have a colonial CB against them. A "colony" is any province with less than 1000 population, although I am not sure if the colonial CB considers any overseas province a colony, or if it is only overseas provinces with less than 1000 population.