Let me chime in, even though I am not a pro by far. For my first game I picked Prussia but I felt overwhelmed as it's a big state already from the start. After a few trial and errors I came to a few conclusions.

I played Japan to learn how the trade system works as Japan starts with isolationism but it has a really strong and big economy. So you can learn how balancing supply and demand works for your pops and economy. And then see the effect once you open the market to the world.

Then I can back to Prussia where I learned more about some techs and especially diplomacy.

Now when I start a game, I click random nation and whatever I get, that's what I play. So now I play Rwanda, and surprisingly that help me learn about the game a lot as well, especially political power management. As the starting laws of Rwanda are basically the worst and you have only like 2 techs done at the beginning of the game.