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.
hoi3.paradoxwikis.com
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:
With HOI III 1.4 patch how to get puppet free state? I wish to play with India,,Israel,Egypt,Irak,Iran like free state it will be more exciting
forum.paradoxplaza.com
If you want to redraw borders, you can also use console commands:
hoi3.paradoxwikis.com
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:
hoi3.paradoxwikis.com
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: