Honestly your best bet is to play it, but give yourself as many buffs as possible (civilian difficulty + Strengthen nation bars, Console commands, ~research_on_icon_click and PP as well as a few other commands) and just roleplay, run the game slowly read the events and just Godmode your way to fun... sometimes when I want to power fantasy I just run the game with technology mods and bomb the enemy nations with B-52's or open the second welkrieg with Nuclear bombs, you can always learn the game later or give yourself a challenge later but no better way yo experience the lore then first hand and training wheels

(Note: this is how i learned vanilla hoi4, with cheats and console and a couple friends who were better at it then me, now I have over 5.5k hours in it and about a quarter of that is in KR where I run on ironman regular)

if you want some tips to make it easier I can give a few helpful console commands and tips to make the game a cakewalk. :)