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AFAIK HOI3 has all the nations that existed back then including most of the larger colonies and dominions. If a nation existed as a mostly independent state during the 2nd world war and it isn't included in the game in some way, that would be news to me. (I'm not talking tiddlers like the Vatican or Andorra, but Nations of a certain size.)

You can tag to the colonial overlord of the nation in question. Go to the politics screen, and under the Mobilise button there are two buttons 'Liberate Nation' and 'Create Puppet'. You can 'liberate' all the colonies as puppets, which roughly translate to a soft decolonisation. You can then play as any of these countries with a few caveats: You're limited to trading with the former overlord, your resource stockpiles over 1.000 will also go to the puppet-masters, and in case of war, you automatically go to war on the side of the overlord, and don't get to keep any of the territory you take after the war etc.

These are the countries that are in the game, including the ones that can be 'liberated' as puppets by colonial powers. Note that some of these countries have different names: For example: Vietnam + Cambodja + Laos is 'Indochina'. African countries aren't included except for Egypt, but in the Middle East and Asia, there are a few options. There's also Croatia in the Balkans, and Guyana in Sth America.

This thread is about how you can unshackle a puppet from it's master and make it into a fully independent nation. I haven't tried it, but it doesn't look too complicated:

If you want to redraw borders, you can also use console commands:

Nations that aren't in the game in some shape will require more serious modification, though it is possible. Check out this page as a starting point:

Of course, if you go down this route, you have to add everything from scratch: Political parties, Ministers, flag, colours, starting tech & templates, core provinces, starting capital etc.

For more detailed info on mods, look on the modder's subforum:
 
Several, if not most, of the major mods for HOI3 allow the release or formation of countries not included in the vanilla game. You'd need to check the details for each mod, which you can't do if your game isn't registered here on the Paradox site (no game icons showing in your signature block = game not registered here). Registering the game here or syncing your Steam account to this site will allow access to the tech support and mod sub-forums. Another avenue might be to check Nexus and see if any of the mods are available there, which would generally include some description of what they do.
 
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Also, a note (from personal experience): I've added most of the nations from Africa that were British Dominions (because of what happened in my games). Despite "working" (ie, showing that they were available in a fresh game start) they did not appear in the save games, so you'll have to start a new game.