B737-800 First Officer reported the Captain overbanked the aircraft during arrival while maneuvering away from an area of severe weather. Captain corrected overbank and flight continued on approach to landing.

Narrative

I was the PM (Pilot Monitoring) on a flight XXXX ZZZ1- ZZZ. We were descending through approximately 8000 ft prepared for the ILS RWY XX in ZZZ. The ATC changed our runway and approach for RNAV XYR. We received a vector to the new approach and I loaded the new RWY and approach into the FMS. I then realized that the vector takes us through a large thunderstorm cell that was located between the final courses of RWY XX and XYR. We had the discussion about it with the CA (PF) and I expressed my concern to the ATC. I told the ATC that that the vector they gave us takes us right into the cell; that we are not able to continue on that heading and need a new vector around it. The ATC was not cooperative; and even after suggesting a heading that we knew that would work for us; they kept refusing it and gave us vectors back into the severe weather. At this point we had reached the edge of the cell with heavy precipitation and moderate turbulence. We [requested priority] as we needed to turn away from the weather. The CA (PF) disconnected the AP and took a right turn taking us out of the cell. The CA (PF) over banked the aircraft which he immediately corrected for after the over-bank warning. Upon several back and forth communication with the ATC we got cleared back to the ILS RWY XX. We requested extra time to prepare for the approach. The approach to ILS XX and landing commenced without issues.We should have had a better situational awareness about the weather and not accepted the runway change that late on the arrival in these circumstances at first place. I did not realize the severity of the weather and its location until we had already accepted the RWY change. It was surprising to us that the ATC attempted to vector us straight into the bad weather and that they were not helpful finding a way around it. It caught us off guard because ZZZ ATC is usually experienced and extremely cooperative helping to cope with weather in the area. We also speculated that the ZZZ ATCs radars could have not portrayed the same info we had.We should always maintain a good situational awareness and never rely on ATC doing a right thing.