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Maybe a stupid question, but I haven't played Crowns of glory that much.

Playing as Sweden, and conquered Denmark (so all their provinces where fullcolored as my homeprovinces).
After a year or so suddently Russia formed a protectorate of Denmark, and all the former danish provinces became a protectorate to Russia even though they where a part of Sweden.

Should it work like this ?

Was their a foreign diplomat? He may have turned the Danish people against you and offered a protectorate to preotect them against you.

Or it could be that your population were unhappy thus they break away; this happened to me as Prussia; provinces were turning white and/or countries were then forming protectorates with them.
I imagine the presence of a diplomat would aggravate the situation.
If this is the case, pump a few of your Luxury bars up in economic advisor to get your people to feel patriotic.