Claimed provinces eventually turn into national cores if owned (and I think controlled as well) for a certain continuous period, the length of which is defined in \db\defines.txt. There's no mechanic that creates national cores from nothing, but you could easily give yourself those core in the savegame or write an event that automatically does that. However, once you own those provinces, the only real effect of national cores is that there's no nationalism, which is the revolt risk you get for newly conquered provinces during the first I think 30 years. So after you've held a province for 30 years, whether it's your national core or not makes no difference.