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You can go to war and install your own government. But unless you have a claim on their region it won't be absorbed into your country. You'll just take over theirs.
To win you have to take the enemy's capital, though suing for peace (another Set National Policy action) will let captured territory stand as captured. I think so long as you share a land border you'll absorb the region, but it might instead be only if you have a claim on it; if you don't absorb it the winning armies get all the CP.
EDIT: Per above, merge if claim, not sure what happens if no claim but occupied regions; maybe spin off a puppet nation?
Not sure how it handles "joint" ventures, only happened to me once with the EU declaring war on Oman who was federated with Saudi Arabia while my USA was still allied with the EU. I swung in with 5/6 armies and took SA's capital because It's Free Real Estate, while the EU got bogged down in Oman and had zero armies contributing in SA. Didn't bother with Oman since I was like 3 points over cap at the time lol
Amusingly I had to end my alliance with the EU later because they tried to take advantage of that so they could invade Yemen (which was mine at the time).
Look for Great Nations in the global tech tree; pretty much all the research on the way to it and it itself unlocks projects to give certain nations claims outside its borders.
Inversely, Fall of Empires (and its line) gives tech for spinning off individual regions as nations in the same manner that Canada and Quebec or Spain and... Catalonia? interact at the start of the game.
Just note that if you're going Caliphate for the middle east, you have to first take Saudi Arabia, then grant the Caliphate independence, as its capital is not SA's capital.
After that you can start merging everybody into the Caliphate.
The diplo process for merging is Ally -> Federation (via Set Policy) -> Unification (via Set Policy)
Also of note you can only get claims that the devs let you have.
Also why the only nation that can actually rule the world right now is iirc India, as it's at the top of the move-capital claim chains.