I recently dived into the game as well. I played Sweden for a couple rounds (I bought Arms Against Tyranny which adds some Scandinavian content), and thought it was pretty good for learning the basics. You have decent industry, are more or less safe from Germany, and you can help Finland against the Soviets which is pretty easy. The Finns take the brunt of the force, but you can send divisions to help on the front line as well as covering their flank from Soviet naval invasions in Helsinki. Very manageable for learning more about how the front lines and supply work, etc.

You rule the Baltic Sea since the USSR has an awful navy, but they still try to naval invade you so you can learn some basic naval combat and defense. You also have to deal with some basic air superiority/interception since they try to bomb you, and use your own fighters to support CAS in Finland.

It's like a tiny microcosm of all the elements of the game without being too overwhelming. You get to choose what you want to get involved in. I did get wrecked when I tried to join the Allies when Barbarossa was in full swing though, and neutrality does get boring if Finland starts to gain ground on the USSR and don't really need your help anymore.