A Cooper pair splitter consists of two quantum dots side-coupled to a conventional superconductor. Usually, the quantum dots are assumed to have a large charging energy compared to the superconducting gap, in order to suppress processes other than the coherent splitting of Cooper pairs. In this work, in contrast, we investigate the limit in which the charging energy is smaller than the superconducting gap. This allows us, in particular, to study the effect of a Zeeman field comparable to the charging energy. We find analytically that in this parameter regime the superconductor mediates an interdot tunneling term with a spin symmetry determined by the Zeeman field. Together with electrostatically tunable quantum dots, we show that this makes it possible to engineer a spin triplet state shared between the quantum dots. Compared to previous works, we thus extend the capabilities of the Cooper pair splitter to create entangled nonlocal electron pairs.