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I think it's the adj_defs.txt file in the DB/Map folder. You must add something like:

adjacency = { from = 251 to = 307 type = sea through = 875 } #Sjaelland-Skåne

251 and 307 should be switched with the province ids for Gibraltar and Tangiers, while 875 should be switched with the sea zone id for the strait.

Edit: IDs are 445, 732 and 982 respectively.
 
Thanks so much! This might possibly make life suck less for the west african pagans I'm playing as -_-
Well, we actually removed it to keep Castile/Spain from dominating them so easily.