A country in a faction or with an alliance has a strong chance of going "Government in Exile", instead of submitting to annexation. You can check the country in the Diplomacy screen, hover over the surrender status bar, and it should show "Government in Exile" for those that you've occupied but not annexed. I'm assuming that you set a war goal to annex them....
In your case, you conquered Yugoslavia, Romania, and Austria before they joined a faction or made alliances, but didn't do so for the rest. The only way to fully annex them now would be to conquer the faction or alliance leader where their government in exile is hiding.
If you're staying independent, then taking AUS and CZE is a good thing; if joining the Axis is in the plan, then you should let GER have them, since they get them as cores, but you don't.