It happened in my game, but don't know how - whether event or diplo-annex (am playing Byzantium and only half paying attention to things in the Baltic). There was a message saying the Brandenburg had declared its independence from Prussia (since three provinces revolted to form Brandenburg, I don't think Prussia took control by military annexation) - which surprised me enough that I started paying attention to what was going on up there, at least until the next war with Persia.