Feels like I have written a lot on this subject in other threads over the years, so I won't spill much digital ink on it this time.
I think it would be a mistake to put any effort into non-communist alternate history.
I think the Soviet Union's starting situation should be tweaked. It should be either get a unique mobilization law to start with or early mobilization and be restricted to this until certain conditions are met(like MR Pact or the explosion of a major war elsewhere). The Soviet Union wasn't on a war footing in terms of economic mobilization in 1936, although it was to a certain extent in a position to become so because the Soviet Union had always been an embattled state.
Poland had one of the largest armies in Europe at this time, and the Soviets in turn felt they needed to be ready for a challenge from not just Poland but from the United Kingdom. Essentially there were competing factors in the minds of the Soviet ruling bureaucracy. On one hand, they perceived the United Kingdom as enemy number one. During the Russian Civil War, Britain launched an invasion of Soviet territory from the Caucasus, and coordinated invasions by its allies like France in Ukraine and the United States in Archangel. This mostly proved haphazard adeventures that were aborted due to military failure or domestic political pressure at home, but this hand a lingering effect in Soviet politics.
The Soviets identified Britain as the main force behind 'world capitalism', and thus believed that any attempt to destroy the Soviet Union would necessarily involve Britain. This is also key to understanding the psychology that led to the MR Pact. They saw the threat of Germany as the 30's went on, but believed that the 'main threat' was still Britain; that Germany would never invade the Soviet Union without tacit British encouragement or even a joint alliance.
The second thing to realize is that the Soviet Union was no longer about world revolution at this point in history. In fact this had been ditched in reality before the Russian Civil War was even over. Lenin cooperated with the Weimar government to provide weapons needed to crush the German communists, the Soviets turned over Iranian communists to Iran as a sign of good faith, the Soviets abandoned all pretense of communist revolution in Turkey by ordering the communists to cooperate with the nationalist(who in turn massacred them), the same in China, etc. It goes on.
Soviet politics by the mid 1920's had shifted away from fostering revolution to consolidating the Soviet Union's position as a stable member of international politics. Make no mistake, this is not the same as saying that the Soviet had good intentions. Much like Russia today, the Soviet Union was concerned with 'securing its sphere' and ensuring that its neighbors would not become part of a potential anti-Soviet military coalition. This was the main concern of Stalin. There is some pretty recent scholarship that looks more in depth at this, Norman Naimark's Stalin and the Fate of Europe: The Postwar Struggle for Sovereignty is what I'd recommend.
All this to say that some grand European conquest should not be a part of a Stalinist USSR focus tree. Stalinist ambitions should be mostly regional in nature, so far as proactive policy goes.
I think the Great Purge should be expanded upon as a mechanic and have a greater effect. There should be no ability to cheat your way out of it by a quick war with Finland or Romania. I think the purge penalties should actually be even more severe than they are now, but I think this would have to be counterbalanced by reworked logistics mechanics so that the main obstacle to the German advance in the first year of the war in the east is supply lines.
By expanding the purge, I think this also creates more room to differentiate other communist alternate history paths.
The obvious one to many people here is the Left Opposition led by Trotsky, although at this point it was defeated and its leaders in exile or imprisoned. In the game I think this could work by opting not to undergo the purge. The result is that the military should become afraid of falling victim to a purge and begin a coup with Trotsky at the helm. This should involve a ferocious civil war.
Ideologically, Trotsky was strongly opposed to the turn of the Soviet Union away from world revolution, so a left opposition USSR should emphasize aggressive conquest in the ultimate aim of making a world socialist republic. I see no reason why this couldn't indeed even be a formable entity like the anarchists in spain have.
I think a more interesting an plausible alternative would be a Right Opposition Soviet Union led by Bukharin. The Right Opposition was also defeated by this time, but it had widespread sympathy by a lot of people even among the bureaucracy. The reason is that Bukharin opposed crash industrialization and supported a more measured program of industrialization that would not squeeze the peasants dry. In 1936 the head of the NKVD is Genrikh Yagoda, an old associate of Bukharin. I don't think it's ridiculously implausible that some elements of the bureaucracy including the NKVD become wary of an impending purge and decide to pre-empt it by getting rid of Stalin and putting someone at the helm who might restore stability to the countryside.
Right Opposition Soviet Union would thus bypass the military penalties that would come with a Great Purge as well as the military and economic damage that would come from a Civil War. I think this could be balanced by having the least potential for a rapid economic expansion in comparison to Stalinist and Trotskyist paths. Bukharin was known for his opposition to mass industrialization because he anticipated exactly the kind of problems that did in fact occur with the food supply.
I see Right Opposition Soviet Union as having some of the most interesting potential. Historians are divided about Bukharin. The traditional view is that he was kind of a Soviet Deng Xiaoping, that his rule would have led to the gradual creation of a system like modern China. Others, including his contemporaries like founder of the Italian Communist Party Amadeo Bordiga tended to see Bukharin's position as being more in line with Lenin had preached before his death: basically preserving the Soviet Union as a fortress of communism until the opportunity to sponsor a new world revolution arose.
I think it could be interesting to see a Right Opposition Soviet Union having an option between going with a more conservative path, or perhaps reconciling with the Left Opposition in a recreation of the old United Opposition and pushing world revolution.
There's still other possibilities for alternate branches within Stalinism too, in my opinion. Although Stalin and his cohorts no longer believed that the Soviet Union could or should sponsor violent revolutions with the aim directly creating a worldwide socialist state, they did flirt with the idea of basically becoming the world headquarters of a broader 'anti-colonial' uprising. This was the Soviet orientation towards Saudi Arabia, which the Soviets could be used as a staging ground to supplant British and French colonialism in the Arab World. This dream came to an end when Stalin had the ambassador to King Ibn Saud executed, as the ambassador was a close personal friend of the King. He was sufficiently enraged that he cut diplomatic ties with the Soviet Union all together for the rest of the latter's existence.
We saw a milder form of this strategy adopted by the Soviet Union in the cold war. The Soviets did not believe that an anti-colonial revolution was the same thing as a communist revolution, but that the former could set the stage for the latter(at a conveniently indefinite point in the future, of course). Personally I think a campaign where the Soviets stir up trouble against the British in India and can potentially liberate India, Arabia, and China against the British, French, and Japanese could be extremely fun.
I frankly see no real point in some kind of monarchist path. Not only is it absurdly implausible, in practice it would just play like a more boring version of the potential communist paths above. If it doesn't offer anything new or interesting from a gameplay perspective, then I don't see how it would add anything to the game.