Well there's the Aztecs and Inca. Several more colonial areas which are ingame largish nations but IRL were hardly so.
Well, the ahistorical largish nations are a problem in itself, so they are not a good example. The Aztecs are one of such, I believe. As for the Inca, I don't know much of the history of the region, but from what I've heard the Spaniard actually did not conquer the whole region in a single bound and annexed to the Spanish Empire. Instead, they took a couple of regions and placed a puppet state there with the locals. This is more like "make vassal".
Obviously the major expansive empires conquered numerous countries in single wars, in history as a whole. The Romans, Arabs, Mongols, Napoleon, Hitler, all conquered whole (and later even multiple) countries in a single war. But no it was not common in the game's time period.
I was specifically thinking on inside the time frame. The EUIV is not supposed to emulate the whole story, after all.
EDIT: Oh and Charles the Stupid (a.k.a. the Bold, the Rash, the Terrible) managed to eliminate his own country (Burgundy) in a single war.
And that exception is already in the game as its own DHE. Also, Burgundy is not that big.
...If you introduced a wargoal whereby any country in which you had claims on every single province could be annexed in EU4, I would like to see the screams of pain on the forum and the wars over how unrealistic, ahistorical, and wrongheaded this was - because fabricating claims is a core EU4 game mechanic.
I hate this fabricate claim thing, myself.

I even modded it out my demo. But I thought you could only fabricate in provinces that border your territory? That way it is rather difficult to fabricate claim on all of your enemy. Also, maybe it could limited so you can't fabricate a claim on capitals, unless it is an OPM. That would solve everything.
If you limited it to cores, it would be pretty much irrelevant, because few countries have cores on eachothers provinces unless they have taken them in war and cored them.
Well, it would be nice for revolter countries. Which is where the war goal is most used in Vic, anyway. But then this wouldn't be relevant for the Mamluks-Ottomans war.
I think Safavid rise to power can be regarded as one, although no "empires" were conquered, huge amounts of lands were.
Well, you can do that in EUIV already. Just declare war on a bunch of minors and annex them all. We are not talking about quick land grabs, but about annexing huge states (or taking much land from huge empires).
Also you have the obvious examples of the Incan, Mayan, and Aztec empires.
Already mentioned the other two, but I believe the Mayans were not an Empire at the game start. And in the game they are not so big that they can't be annexed, I think.
Manchurian conquest of China.
Oh, yeah, that is an important one. Still, that makes 2 examples in 400 years of history. I think emulating the rule is more important than emulating the exceptions.