one problem, depending on how correctly paradox folows the history when making the scenarios.
eg. didn't Czechoslovakia and Poland fought a war over some disputed areas? in 1920? that is not that far from WW2, so when the Czechoslovaks get dowed by germany, they would not have any where to retreat since they had bad relationship whit poland due to disputes, Hungary had claims on their territory that made bad relationships, and austia was under german influence and last they where landlocked.
then the exile, would any country cared to take them in? small frendly countrys didn't have anything to spare, the allies gave german free hand in taking them, so i wouldn't tink Czechoslovakia would be so happy to go in exile there.
so there should also be some restriction to who and where a annex country can exile, and depending on situation how many loyals follow the exile.