Cannot core any captured provinces

In order to be able to core a province, said province needs to be adjecent to, or be in coring range, one of your core provinces. "In coring range" includes the following aspects:

• You must have a cored province with a port
• Non-cored province must have a port
• Non-cored province must be in coring range. You can check the coring range using the Colonial map mode. ⁽¹⁾

If you are at the begining of the game, Brandenburg and Teutonic Order do not have adjencent provinces. If you want to get rid of the over extention, your options at the moment are:

1. Release a vassal with the provinces you took, if possible.
2. Fight either Poland or Pomerania and take a province that is adjecent to both your provinces and the ones you took from Teutonic Order.
3. Sell the provinces to another nation.

I'd personally go for option 1 if you can (I can't check if there's any nation you can release in that area). That way you can have a vassal, feed it with some provinces, and annex it later on, which will give you cores on those provinces at no admin cost (it will cost you diplo points for annexing though).

⁽¹⁾ Oddly enough, the coring range corresponds to the colonial range. While using the Colonial map mode, if you hover the mouse over a province, the popup will tell you the range of the province, and if it is currently inside your maximum range or not. If this explanation is not clear enough, shenryyr, in its Let's Play video, demonstrates this trick after capturing Friesland's province.