Iran is a minor country in the Middle East. Iran is bordered to the west by Iraq and Turkey, to the north by the Soviet Union and to the east by Afghanistan and British Raj. In 1936, Iran starts as a minor Non-Aligned nation with a small industry, a small army and 2 research slots.
After the October Revolution, the Soviet Union tried to establish a puppet government in northern Iran, similar to Mongolia and Sinkiang like the "Soviet Republic of Gilan" or after WWII the "Azerbaijan People's Government" and the "Republic of Mahabad". In 1921 there was a reaction to the growing influence of the coup with the support of the UK, which eventually led to the change to the Pahlavi Dynasty.
Although Iran declared itself neutral at the beginning of the war, there was sympathy for the Axis powers, but because of its strategic importance after the beginning of the war between the Soviet Union and Germany, the Anglo-Soviet invasion of Iran occurred in 1941.
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Iran starts with a small economy, with only 5 factories and no resources except oil. Iran's economy is focused on civilian industry and has a civilian factory to a military factory / dockyard ratio of 4:1.
As Iran the first thing you want to do is begin justifying on Iraq so you can get more resources for when you reform the Persian Empire. Once you take out Iraq you can turn your focus onto Afganistan and take them over too. Now from here on out you will need to declare war on France and Britain so prepare your forces on the borders of their colonies and attack them. You will need Syria, Jordan, and Pakistan in order to do this. After you've preferably peaced out the European Powers you can go and invade Turkey. They shouldn't pose much of a threat to you at this point as your army should be large. Once you've taken Turkey you can take Greece if you feel like it but now you've basically reformed the Persian Empire! Your probably a great power by now so taking over the world should be easy from here.