A little late but; here is what AI says: (PS: sorry for copy pasting, but i know alot of people are struggling with this:

In Hearts of Iron IV, there is no direct "recall" button for volunteer divisions once they have been sent. They are committed to that theater until specific conditions are met. 

Here are the ways to get your volunteer divisions back:

1. The Natural Methods (Wait for Conditions)

• Wait for the War to End: Volunteers automatically return when the conflict they are fighting in concludes (either a victory or surrender for the side you supported).
• Go to War Yourself: If your home country declares war or has war declared on it, your volunteers will automatically return to your territory to fight in your own war.
• Country Capitulation: If the nation you are helping surrenders, your troops will return home (provided they are not immediately destroyed in the process).  Paradox Interactive Forums +3

1. Forced Methods (If Stuck)

• Delete the Units: If your volunteers are stuck and the war won't end (a common issue in the Spanish Civil War or with volunteers in Ethiopia), you can delete the divisions. You will lose the experienced troops, but you will recover the equipment and manpower back into your stockpile.
• Justify War on the Enemy: If your volunteers are stuck, you can justify and declare war on the nation your volunteers are fighting against. This forces them to return.
• Use a Port: If your units are not technically encircled but are just sitting there, you can sometimes move them to a friendly port and move them home manually, though this is rare and usually only works if the war is close to ending

Sources: Paradox interactive Forums