When I’m sieging a province, what this sign near the arthe means

I believe Marrakech is the capital province. It's hard to see in your photo, but I think you will see a crown on top of a pole coming out of the map in that province -- that indicates it is a national capitol.

You would receive that province as part of a full annexation, but you can't just take the capital as if it were any other province.

I ran into this problem as well a few days back when I was trying to find out why it was so hard for me to annex an enemy.

As usual, the ledger holds the answers.

First off, you can easily check if your opponent really has more provinces than you thought in the Number of Provinces page in the ledger. Just deselect everything and select only the target country:

Unfortunately, this wont show you where those provinces are located.

After some searching I noticed that this info can be found in the Goods Locations page in the ledger, which has the main purpose of showing you where to find certain trade goods:

By clicking on the Country header you can sort by country alphabetical. From there it should be easy for you to scroll to the country you search for.

However, if a province is within Terra Incognita (you haven't discovered it yet), it will only show as ??? and you will not be able to conquer it until discovery.