I actually did this in a Spanish campaign in M2:TW. I was involved in a Crusade, and had nearly reached the Holy Land when it was called off, and my army was left stranded and losing men each turn due to desertions. I decided to risk it and assaulted Adana. I won it, defended it against two Turkish assaults, then turned it into a fortress and thus had a new land for the Spanish kingdom!

Boy, it was fun trying to manage two kingdoms so far apart :S

I was anticipating moving lots more of my troops over there, but I gave up on the campaign shortly after because I got bored.