The biggest ones that I see are the mandates from the League of Nations. France held Lebanon and Syria (both of which were notionally independent), Britain controlled Iraq, Yemen, Oman (all of which were "independent" in HoI3); Egypt, Transjordan and Palestine (both of which, like Syria and Lebanon, were notionally independent). The smaller ones (Bahrain or Qatar, for instance) are almost non-existent by the game-terms (Bahrain and Qatar are basically worthless islands or peninsulas; Bahrain is 1/3 the size of Luxembourg, and Qatar is slightly smaller than Connecticut). They were lumped in with the UAE and just cored as British in HoI3. Furthermore, not much in the way of ground combat occurred in the area. Little naval conflict happened in the area.
So, where is the need to reflect small states like this? Don't say, 'but Lux..." yeah. Big battles fought in a historically relevant area. Egypt, Palestine, Iraq, Syria, Lebanon, Transjordan, Yemen, Oman: these are all important and should be reflected.