I cannot annex Indian state, only "force migration"

If you're using the "Force Migration" Casus Belli, you cannot take any territory, as discussed on this reddit link.

To take territory from natives, you need to fabricate claims and declare war with a conquest casus belli (requires a core or completed exploration ideas), or manufacture any other CB that lets you take territory (or you can declare with no CB, but that has strong consequences).

You can get a territorial core when your colony becomes a full city. If you have I believe the El Dorado DLC, then your Brazilian colonies will form a colonial nation when you have 5 cities in the region, at which point they'll start expanding on their own through colonization and conquest (though they'll be pretty slow until they're big enough to have a strong income).

A list of casus belli can be found here.