In the lower right corner of Photoshop you can see a small window with layers. Catch the layer called "Layer 1" in this window by left mouse button and drag it between layers named "IDs" and "Shading". If you're done select "Layer" from commands on the top of the screen and then select "Merge down" (a shortcut is Ctrl+E). "Layer 1" should dissapear and a circle you drew should remain. Test if the circle is on right layer by swithing layers visibility on and off by clicking on small eye button near the layer. The circle should dissapear with borders (layer Shading), not with the colours (layer IDs). Now switch layer "Ids" on and layer "Shading" off. You should see a colour areas without shading and borders now. Select the layer IDs as active by left clicking on it.
In the tools panel on the left select dropper (2nd row, 10th button) and click on a purple province (lower left on the sheet). This will take this purple colour as active. Now switch layer "Shading" visibility on, but DON'T select it as active, and select paintbrush (2nd row, 4th button). At the top of the screen below commands "Image" and "Layer" you'll find a button called "Draw:" with a small black triangle. Hit the triangle and select a paintbrush style with clear borders (one from the first in the list). Avoid styles with shaded borders! Select 100% in "Opacity:" and "Flow:" and select Normal in "Mode:". Now try to fill the area inside the circle with the purple colour. The coulour MUST have clear borders without shading.
Now convert your work with Magellan to Eu map files. You should see the island in game as sea province. If you select it, it should select with the sea province on the left from it (province from which you took the purple colour), but the province around the island should be unselected. This is a test if you made the island good. Now we will make the island as a separate province.
Open the Photoshop again with your island, select layer "IDs" as active and now select a colour that isn't used in any other province on the map. The colours are defining province ID and if you select colour used by other province, your island will obey as part of the province you took colour from. If you have unique colour, hold left mouse button down for a while on the button in 2nd row and 6th line (I don't know how it is named in english). A small box will apear with two choices. Select "Can with colour" from it. Now left click inside your island and the purple should change at once into new colour. Convert it with Magellan and it should be done. Maybe.
Somewhere on the forum I saw a list of colours and their IDs, but I can't remember where it was. And it is possible that you'll need to change province.csv file because I'm not sure if Magellan is creating it or not.