You can easily capitulate the Allies in 1939 on historical without any early wars and without ever allying anyone. Just go west after Poland in 1939 and you can Sealion straight after the Fall of France. I did so a few days ago and capitulated the UK in 1939. I started the war on 1 September 1939 as per history.
I bothered to do the peace deal where I annexed Poland, the Netherlands, Belgium, Luxembourg (oh and Abyssinia, which admittedly was a bit of a cheap move, seeing how Italy had occupied it since 1936) and took a few French states along the line that was
historically planned to be annexed to Germany (Zone of German Settlement), took the Allies' directly owned colonies as well as South West Africa from South Africa because it's a former German colony, as well as all their navies. Everything else I puppeted and demanded war reparations and resource rights from all their states (as a side-note, annoying how you can't return land to Vichy France in the peace deal, since using the "Return Territory" feature normally would also return the Zone of German Settlement - would be nice to have this feature on a state-level). I had also partitioned Czechoslovakia historically which meant I had Slovakia as a puppet, though I didn't have to give them anything.
I then declared war on Denmark, which Sweden for some reason defended, so I capitulated Sweden as well. I was going to annex Norway next and then go east into Russia, who by the way hadn't annexed the Baltic States yet, but ended up quitting because the game's disappointingly easy against the AI. This was in vanilla, but in my experience the Expert AI mod does not make the game any harder, or more realistic (which is what I'm really after, and not magic bonuses that make a country produce tanks 50% faster, or the like, which is what higher difficulty settings do). Actually I've found it makes it easier, probably because the AI fields fewer divisions in the mod, which translates to less of an ORG wall to punch through.
