This is not possible. An AI will automatically transfer occupation to you, unless it is a province it wants. Vassals only want core provinces, Allies may want other provinces of interest as well.
So, the only way you could get the province yourself in this war would be to let the enemy reconquer it, then occupy yourself.
The second option would be to not take it in this war and conquer it later.
You could also give the province to the vassal in the peace deal, but take it from them via the subject interaction "Seize Land" afterwards, which will create significant liberty desire though.
However, I'd strongly recommend against taking core provinces from vassals. Holding a core province of a vassal brings significant relation penalties and liberty desire by itself. Just let your vassal have the province, it is not worth the trouble. They can't be very powerful, if they are missing core provinces.