In STW, the enemy armies often "bug out" if they think they have little chance of stopping you in a battle. They will retreat to a neighbouring province. It is one of the things that makes the game challenging - they are not that easy to kill off piecemeal.

You can try to avoid this by cutting off their retreat - isolating provinces so the armies have no where to retreat. In MTW, I remember taking wiping out a faction with 3 provinces with no losses. I did this by attacking all 3 provinces simultaneously with overwhelming force - each of the 3 enemy armies retreated into one of its two neighbouring provinces, but since I was taking them all, they just disappeared instead.