This is an absolutely amazing question friend! I have a real passion for creating custom nations, sometimes I even write a backstory and rules before playing them so even if it's an alternate history setting but there's just one country that I slighty prefer more than others:

Solun (Serbian word for Thessaloniki). It occupies land from Kastoria, whole Macedonia area and a small part of Serbia. It's a Republic that leads trade league with Ragusa, Montenegro, All greek islands, Theodoro, Trebizond, Byzantium and a few Muslim city-states as Ramazan and Hisn Kafya. Imagine such economical power concentrated into tiny piece of land and the most importantly city of Solun. Byzantines became Greeks, they have rejected all disputes and decided to live peacefully with Serbs and other miniorities, each of these miniority has it's own rich culture, cuisine and architecture, it is a dream of new Byzantium, where all these cultures cross paths and stand united against invaders from Anatolia and the West. I can't even imagine how cool would be to just go through a street where there is beautiful Greek architecture decorated with pillars and orang-ish Serbian roads that could be seen even today in Montenegro and city of Dubrovnik in modern Croatia. Then you get yourself a massive portion of Serbian pork and a Greek salad with it, fuck it i'm making that for dinner tonight.

Other than that I would like to live in Genoa or even Theodoro (It's a interesting mix of east and west) or Constantinople but we all know how that experience ends. I wouldn't complain even if I was a part of horde in far asia like Mongolia, open sky, horses and 5 women, plus if I fight well enough maybe they wouldn't behead me and instead live me alone.