Addendum
I have a bit more time, thought I'd flesh out the previous a bit more. What I am proposing is kind of a "super vassalization", wherein the provinces show on the map as yours, the former country cannot enter into any foreign alliances, etc - it is your province, just with some level of local control. However, you take a hit on the tax revenue (say, 30% decrease) by virtue of the locals still nominally running the day to day institutions in the province. The provinces would remain the culture and religion at the time you took them.
So for provinces with less than 5000 inhabitants, you could still "colonize" as currently modelled in EU2 (ability to change culture, religion to your own). For provinces over 5000 inhabitants, sometimes triggers (e.g., "native dispersion" in North American provinces) would clear the province for traditional EU2 colonization in spite of the higher pop. So far, just the same as EU2 1.08 and AGCEEP.
The added twist is that when you conquer a non-European (or specify Asia and/or Africa and/or Indonesia, open to debate) territory with pop greater than 5000 (or even higher number; open to debate), then you can't simply kill off all the current residents (except accidentally by disease big portions sometimes did die), nor would a economically minded ruler wish to do so. You would merely be the sovereign power, while the 'natives' still handled day to day governing. But I wouldn't want to see the full "different culture" added revolt risk, nor the "different religion" revolt risk apply fully in these situations; maybe random rebellion events that target your "Native Governed Colonies", similar to the "Massive Colonial Uprising" random event already completed?
Open questions - what happens if you wish to convert the natives to your religion? Most Europeans would at least make token efforts in this regard; should this cut revolt risk in the long term, to provide some incentive to do the "historic" thing? And would a subsequent European owner of the province, due to war, find it easier to govern the natives when it became their "Native Governed Colony"?
Anyway, I don't know if this is in the slightest way feasible to program - just an idea that, if possible within EU2, would certainly make game play a bit more "historically plausible". Currently the colonization methodology is pathetic, such that I rarely play as colonial powers - its too damn tedious sending out those colonists, especially now that its 10 (successful) colonists per province to start a City. A middle ground colonial method would at least introduce some strategy into the colonial efforts.