The important part is to include the province in the HRE before releasing. If the capital province is in the HRE, then the released country is in the HRE and so your vassal without taking a diplo slot.
I am not just sure if it works if you use the release vassal button. It certainly works if you click the button to return a province to a country, and this ensures that the province is in the HRE when you release it from the province panel. It will release the country without a vassal link with you... but as a HRE member, that will then become your vassal.
So it works only for European provinces. Then you can create a HRE vassal on the European side border of Asia and then give it provinces on the Asian side, it will remain in the HRE (but won't be able to integrate its non-European province to the HRE)