Massilia owns two provinces: Massilia and Emporion along the coast to the west.
Have you captured both of them?
That's why. You can only annex a country that has fewer than three provinces.
Ok. That kinda sucks...Moddable?
I believe you can change it by editing the defines.txt found in EUR/common folder. Just search for annex.
2 # _DIPDEF_MAX_ANNEX_SIZE_ (Countries of this size or less can be annexed)
Never tried changing it, though. So, no idea if it works.
It works. Although you must remember that it works for you, but also for the AI players. If you change the value to four, the Seleucid could swallow Macedonia in one move.