I can never bring myself to buy a Duchy over a Province in a Duke game...
I do it a lot in regular Province games. Especially if Rebuild is involved.
Is that actually the right move? The goal is to get Duchies and Rebuild them into Provinces. If you can afford a Province outright, it should be better to just get that instead of a Duchy. Skip a step, be one Province closer to ending the game, and your Rebuild play can hit one of your other Duchies instead.
For regular Province games, I suppose you are talking about PPR.