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When I did it (can't remember which patch):
To form the Roman Empire you needed all of Iberia (including Canaries/Azores/Madeira).
To get Mare Nostrum you only needed to own the coastlines and be Roman Empire (i.e. you can lose most of your provinces after forming Rome and still get the achievement.
http://eu4.paradoxwikis.com/File:Requirements_Mare_Nostrum.png
Canaries/Azores/Madeira are among those provinces needed to form Rome but not needed for the achievement.
From your screenshot (it is kind of small so I am not completely sure) I would say you are missing 2 provinces in North Africa that are not coastal but are required for achievement - Oujda (2465) and Tlemcen (336).
The Golden Century updated North Africa map but achievement was probably not updated with it.