As most people here, I would actually like to be able to trade individual provinces, but it makes more sense (and more beautiful borders!) to claim by state. Paradox certainly invested many hours of planning to conclude this is the best way. (but I'll edit the save files to get a single province when I think it's apropriated).
A not very elegant solution, but that can work for particular cases, is to change single provinces by event. I imagine it's possible that, trough an event, you can change the owner of a province. This way, it's possible to mod "decisions" for particular provinces - for example, if you're at war with the Gibraltar owner and you control Gibraltar, a national decision "Conquer Gibraltar!" could appear, giving the province directly to you (and some infamy, etc).
A dynamic version of this could also be possible if you can, somehow, "mark" an enemy province you're occupying - it could be something like a spy mission (though, AFAIK, there's no spionage in VIcky2) or some action an army could do over a province. It would mark the enemy province, which enable the national decision to conquer that province, which fires an event passing the province. Tricky and probably harder to do than it looks like, but it would work very well, as only the human players would use such tool. (but, again, it will not be beautiful nor easy to do).
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I have a question, also: a nation has cores over (individual) provinces or over states? If the former, when it claims this core as a war goal, it will get all the state as usual, or just the core provinces in it?