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Sometimes I take over a country and boom Annex no problem. Other times I take over a country hold all of its provinces but can't annex it. Is there any way to do this? I'm sorta confused.
You can only annex one-province countries. In order for this to work for you,
demand tribute of all provinces you can and then wait until the truce
expires. You can then declare war again and capture that last province. When
you do, initiate diplomacy and you will be able to annex the province from
there.
And sometimes you can't annex a nation, even if it seems to have only one province, because there's a tiny province you've forgotten. I always forgot Malta and the Baleares when fighting Carthage during my first games as Rome.