Another alternative is console, which can be used in-game without the need of savegame.
First pause the game. Then, simply start the console by '~' button, then type 'provid' (minus the apostrophes) and it will show province id.
Then you have to type 'changeowner [TAG] [province id number]', and replace TAG with the national tags of any unwesternized nation (for example JAP for Japan or SOK for Sokoto, you can see more in game directory/common/countries file) and then mouse over a province you need to turn into a colony, look at the number below the name in the tooltip, and replace it with 'province id number'. And then press enter, and that unwesternized nation will get that province.
Keep doing this until the whole state is owned by that unwesternized nation, and this is very important. Once you have made sure that it owns the state completely, now is the time for second part. Simply use the cheat to revert the territory back by replacing the TAG with your own country's tag (PRU for Prussia or ENG for Britain, for example) and the same province id numbers, and completely take over the state.
Once this is done, you will have your state back as it was, but since the game thinks you have taken it from an unwesternized nation, it will be a colony now.
Sometimes this fails to work, but that is very rare.