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This is assuming you cannot trade the province in diplomacy.

Edit your savegame with notepad++.

Search for
country = {
tag = the tag your are looking for, for instance USA

Then all the information about that nation can be found below. I think you can find what provinces usa owns under ownedprovinces for instance.

So you would remove province 1566 from your nation, and add it for usa. Type it in like ownedprovinces = { 1234 1587 1602 1566 etc

Not very helpful if you have never edited files or savegames before but perhaps you can figure it out. Hopefully somebody else can guide your more thoroughly if not.
 
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I agree with the approach being savegame editing, but I've always located the specific country portion with provinces by using capital = (ID of the country's capital)

I forget why I do it this way, but I think it's because the country tag approach by itself will also lead you to some other areas like alliances, etc that you have to go through before getting to the list of provinces.
 
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