AnnotationException: A Foreign key refering has the wrong number of column. should be 2

Your class CiudadPK has two columns in it. You're only using @JoinColumn which is limited to a single column. You need to use @JoinColumns and list out both columns in the FK, e.g.

// bi-directional many-to-one association to Provincia
@ManyToOne(fetch=FetchType.LAZY)
@JoinColumns({
  @JoinColumn(name = "codProvincia", insertable = false, updatable = false),
  @JoinColumn(name = "codRegion", insertable = false, updatable = false)
})
private Provincia provincia;

You'll likely have the other issue w/ Ciudad as well, please follow the pattern here to correct that one.

As of Java 8 (introducing @Repeatable), the wrapper annotation @JoinColumns is no longer required .

So, you can simply do this:

// bi-directional many-to-one association to Provincia
@ManyToOne(fetch=FetchType.LAZY)
@JoinColumn(name = "codProvincia", insertable = false, updatable = false)
@JoinColumn(name = "codRegion", insertable = false, updatable = false)
private Provincia provincia;

References:

Java 8's new Type Annotations

Repeating Annotations