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As Prussia I have created the Confederation of Rhine, with all german minor with corps except Baden and Wurtemburg. Afterwards I have conquered both but I can not join them to the Confederation. Same applies with some Polish provinces.

How can I do it?

Can't.  It's a deviation from the EiA rules.  Maybe it'll be changed later on, but right now, you'd have to have the CoTR disassessembled so it dissolves, retake all its components, and then reassemble.