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Yepp, the scenarios themselves have lots of data organized into the 1836 and 1914 folders etc. If you instead load a scenario and save on January 1 life becomes much easier.
A save game also contains all those countries (that is the big file, ignore the little one since it just contains the basic game settings). The thing is you have to search a bit more to find them; the most of the file actually consists of province and POP data. Below that you can find the country specific tags.