Well, from your description I would guess this is actually a common underlying problem with modern gaming rearing its head. To share a few personal anecdotes, I've gotten so mad at games before that let it spill out into physical acts of violence against the things I own. To provide some (certainly not comprehensive) examples, I've dented a laptop screen with a 360 controller, punched a number of doors, desks, and tables, thrown pillows and other objects within arms reach, and started an uncountable number of screaming (and occasionally physical) fights with my family. It actually took seeing someone else lose their minds over a game (a television screen and fifa were involved) for me to actually start to internalize why this behavior was bad. Games are meant to be fun, enjoyable experiences for spending your free time. If you're getting so angry or frustrated or upset about a game that you can no longer enjoy that experience, or worse yet let it bleed into other parts of your life, it's time to put the game down and stop playing. No game is worth so much that it could not be replaced with a different one. There are literally millions of games out there, spend your time with one you enjoy more. And it's not like you have to abandon that game forever, it's almost always possible to revisit it years later when you're older and more experienced. Worst comes to worst, there are in fact other hobbies out there in the world; if your son enjoys the setting, there are plenty of board games (memoir 44 for example), books (both real and alternative history), movies (Casablanca), miniatures games (can't remember the specific names) and other media that cover ww1. If it's something else about hoi4, I'm certain there are other similar experiences that he would enjoy more.
Now, there is a simpler way of dealing with the issue which still teaches a life lesson, just a less generally applicable one, and that's to lower the difficulty. If a game is too hard, there's nothing wrong with lowering the difficulty as that is quite literally the entire reason the difficulty slider is even there. The difficulty slider is your friend and it is there to be used. Not everyone has the ability to excel at every game, and with something that you choose to do or not do like a game, you can simply lower the difficulty so that it's actually possible to enjoy. You can always raise the difficulty later when you're more familiar with the game if it hurts your pride to that extent.
Anyways, I've rambled on for quite a bit (and typing this all out on mobile is time consuming) so I'll end it there for now.