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→Forming the European Union
France is quite possibly the best candidate to form the European Union as if staying democratic, it can expect to end up in a defensive war against both Germany and Italy, allowing both countries to be annexed in a single peace treaty. The main problem with forming the EU as France is the inability to annex Belgium, Netherlands, and Luxembourg but this can be worked around by going down the French Entente line in the focus tree. Be sure to kick Czechoslovakia out of the faction before Sudetenland as otherwise you will end up in a war with Germany too early. Wait for Germany to capitulate all the minors on the mainland before justifying on an axis member and joining the war.
Once the war starts its important to deny military access to all other belligerents and rack up massive war score on your own. The most straightforward approach would be to first neutralize Italy by launching naval invasions to encircle and destroy their troops before
matching on Rome. Start in Sicily and work your way up the peninsula towards Rome. If you have land forts around level 6 or higher then the Axis nations will be very hesitant to assault your positions and you can focus on taking down Italy. Once Italy falls, be sure to quickly capitulate Germany before the Allies are able to do that. You need to have a high war score in order to pull off this strategy.
Once the Axis powers are defeated and the peace treaty commences, annex the BeNeLux countries in their entirety and as much of Italy and Germany in the first peace treaty as possible. Try to annex all coastal states as the allies will not annex any states that they cannot reach. Only Italy's and Germany's starting regions are needed so a German Republic forming in Austria or an Italian Republic forming in Albania (due to Allied demands) is very convenient if you can cut then off and stop them from getting more land in the peace deal.