I'm going to speak in language agnostic terms because I don't know Unreal Engine 4.
The most obvious way I imagine it to be is you have 2 images. In one of them, you draw the map with all the regions colored in a unique color each. This is the hidden image. In the other, you actually draw what will be displayed to the player, lining up the regions with the hidden image.
Then you keep a dictionary of colors, mapping each color that appears in your hidden image to a certain province name or province object.
You do this so that you can take the position of the mouse pointer relative to the top-left corner of the image you display, check which color the pixel in that position in the hidden image is, and go to the dictionary to find which province the player selected.