I am not an expert, but as a copyeditor who sees a lot of prose written by people who are experts in Chinese nomenclature, I'd say that they usually refer to "Yunnan" plain and simple, except where there is room for ambiguity or confusion. The authoritative series of books "The Cambridge History of China" also seems to adhere to his practice, as do Britannica articles. Often, though not always, the word "province" will be added when a smaller subdivision's location is being specified: e.g., "the city of Xiaoshan, in Shaoxing Prefecture, Zhejiang Province." (Chicago Manual of Style recommends uppercasing the "P" but some publishers lowercase it.)
On the other hand, these people are usually writing for an audience of folks who could reel off the names of all the Chinese provinces in their sleep, and who know that "Yunnan" is a province, not a delicious red-cooked stew of eight different internal bovine organs. A more general audience might need a little nudge, as American news viewers got recently when coverage of the wildfires repeatedly referred to the Australian "state of Victoria" in the same outlets where domestic news would refer to wildfires in just plain "California." Still, for the title of the article, I'd think that "Yunnan" would work.
Come to think of it, I've never seen any publisher's style guide that explicitly addresses your question, even among publishers of scholarly journals specializing in China.
All this applies only to Chinese provinces (and "autonomous regions"); I don't know about other countries.
LOL...I once was upbraided by an American who said I was patronizing Canada when I called Victoria a "provincial capital".
OK -- from another Asian perspective, would the Vietnamese custom of titling with "Province" be terribly jarring? Otherwise, there can be ambiguity between town and province.
