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No they do not. They stay as Texans although the state is most often swamped by immigrants who tend to become Yankee so I can see why you might think that. I believe that the U.S. gains the culture if they annex Texas with the right events though.
Not sure if this helps, but there is an event for the CSA where an independent Texas joins the CSA and the CSA gains Texan as a primary(or whatever its called) culture. I once accidentaly fired this event as USA, I was cheating to try and trigger another, and the only effect I noticed was that the USA gained Texan as a primary culture, however without cheating I'm not aware of any way for the USA to get Texan culture.
EDIT: Note there was no CSA or Texas when I accidentaly fired the event.
Only CSA can get Texan culture as state culture. The chain of events is:
-event 14235 for CSA has NOT fired;
-then event 14404 for TEX (Richmond asks us to join Confederacy) must fire and be accepted by TEX (second, less probable option);
-which in turn causes event 14206 for CSA and that one gives CSA the Texan culture and cores in Texas.
To my knowledge there is no such chain of events for USA. Texas can join the Union in 1830 - 1840's already, but its decision launches events 14101 or 14123 for the USA. Both of them only make USA inherit or make colony out of Texas, but do not add the Texan culture.
You can check the events (and their triggers) yourself in your Victoria\db\events folder.
'Texan' culture was really a mishmash of Dixie and Mexican, so the way to go with modding it would be to shift them into Dixie following peaceable annexation. But afaik Red's right.