Well, on the other side of the coin, if I play Italy, and don't join HItler (yes, it's a choice!), I invade/annex Yugoslavia and Greece, because even befriending either one usually runs afoul of a German focus. 2/3 of the time, about, that I have tried to befriend them, they end up as German puppets, instead of Italian friends. One time in particular, I started to invade Greece, and 1 day later, the German focus fired and stole Greece right out from under me. So, I take them over end up with collab puppets in the end to steal manpower from. (I said what is this, I don't even, and put it right back. Crazy AI focus...)
Believe me, I feel you on this. I tried playing as a semi-pacifist Italy once, and took all the "befriend" options. I ended up isolated and surrounded by Axis powers before I knew it. Nowadays, whenever I play Italy, the first thing I do is annex Austria to stick it to Adolf.