There are several scenarios for going provinces in a colony game:
1. Tournament. Colonies don't win tournaments and they don't block the peddler effect. Nabbing followers can be just that good.
2. Fast setups, particularly those that will have a hard time hitting 11 coin. Joat, Chancellor/Stash, etc. all can pile down the provinces before the other guy can start pounding out colonies on some boards.
3. Megaturns. Highway, HoP, Bridge, and a good number of other options can pile out the provinces much easier than the colonies.
4. Planned 3-pile ending. If the game is going to be easy to end on piles, then you may need to start hitting up provinces before you are ready for colonies. For instance, say you have a board with peddler, pawn, watchtower, TR, trashing. You know that peddler and pawn are both quick and easy to pile out. If you can get the buys, you can also pile the curses (using watchtower trashing) without too much effort (assuming that the TR or watchtowers aren't also options). Nabbing a province, pawn, and peddlers pushes you that much closer to end game. It can be heavily worth it to either end the game outright, or to place your opponent in a forced position (You are up by 2 - 9 points, they have to green or you end the game). This becomes extremely useful outside of mirrors. If you have the buys/gains to end it in one turn and they need two turns, you can drastically change their plans by going for a province and pushing the piles.
5. Strong TfB options. Dipping into provinces on 8 isn't so bad if you have upgrade in your deck, you bought it on 8 and can have either the VP or a delayed plat. Likewise apprentice and salvager can both use the high value, though you may just end up leaving it as VP padding. Taking an early province over a gold is not so dangerous if you have the option to get the value back out later. With a good engine, even things like develop and remodel can allow you to either get the plat or build up twice to colony.
6. Green tolerant decks. Xroads is likely the strongest option here, but things like scout/cellar, apprentice, controlled NV "islanding", KC/scheme top decking, golem decks and the like allow you to just grab whatever green you can afford at the moment. Normally buying a province sacrifices one or more engine components, but this can be worth it and sometimes isn't so bad. For instance with haggler out you still get engine components with your provinces, going for two provinces instead of a colony/component (or a colony/duchy) works decently in green tolerant decks.
7. Alt-VP decks. Yeah colony games are not as friendly to alt-VP, but many engines choke on just a few colonies (e.g. watchtower or Jack based draw engines. If you are going to lose the colony spread, you can sometimes play for slow provinces and another source of VP, for instance fairgrounds. Getting fairgrounds to 6 in colony games isn't that hard (games are longer, you have another treasure and another VP card) and 8 is doable in a lot more situations (bane, potion, tournament). Between the provinces and the fairgrounds you can overwhelm someone who beat you to a megaturn and nabbed five colonies, but killed his engine to do it (e.g. a HoP deck). Getting 12 provinces / 6 point fairgrounds or even 14 is doable before a busted engines can be rebuilt enough to pile the colonies. Likewise, gardens and vineyards can be coupled with provinces to try to beat an otherwise insurmountable colony lead.