So heres the thing, YOU cant enter the province of Stalingrad but other nations can, even if they are in your faction or your puppet. I cant confirm if itll pop if the territory belongs to you.
What I did was I went the Kaiser route, chose the focus "Danzig for guarantee" which Poland almost always agrees to. I also did align Romania and than the focus after that turns them into a puppet. I simply pushed through the north with my troops, as well as south towards Baku, making sure to avoid going anywhere near Stalingrad. I let my Polish and Romanian allies push through to Stalingrad which was the final VP. The territory was in Romanian hands. Upon ending the peace deal the achievement popped.