Funny you should talk about this but I was having the same problem as Germany.
I DoWed Czechoslovakia right after the Austrian Anschluß event in March 1938. I figured this would "prove my manhood" but nobody would ally with me still, not even Italy or Japan. I did manage to get Yugoslavia to join me, so it felt good that I had some backup should I need it. Then the Allies DoWed on me near the end of my Czech campaign. But the French weren't doing anything, and the Dutch and Belgians were still neutral, so I just defended the other side of the Maginot until I was ready to attack Poland. Again, I was hoping that Hungary and Romania might want some yummy land, but nobody allied with me. I scrambled through Poland in about 2 weeks and it was all over. Then I moved everything to the west front and just left garrison units east to face the Reds.
Now... here's where something interesting happens. I defeated France in a 1 month slogging match and right after that I managed to get Nationalist Spain to join me. I had sent about 4 troops to them two years earlier during their civil war, so you could say maybe that and my victory to the north had something to do with it, I don't know. Anyway, as I reassessed my situation for the upcoming "Battle of Britain", I decided I couldn't totally trust a huge open southern border facing Hungary and Italy, so I placed some garrison troops there too. Right after that, Hungary finally joined my alliance. Then, after about 2 months, Italy joined. And I literally only had 4 or 5 DI points. So I'm thinking there's a bit of a "domino effect" that occurs in this game. And it isn't necessarily having to do with victories...because just after I defeated the French, the US joined the Allies. I think the domino effect has to do with actually getting "big" or "strategic" allies to join you.
I still can't get Finland to join me though. Of course, they shouldn't have to... they were only pro-Axis because of the East Front war. Right now the USSR has their own Comintern of Mongolia and some other country so they can't join the Allies.
Looks like it's gonna be fun.