This won't work; religious rebels will only change a country's religion within the group. Catholic zealots will not break a country from Hindu to Christianity, for example. There is another type of rebel which will, but using them is not viable; they hardly ever pop up (and I cannot remember their names)
If you want a Eurasia-Africa spanning HRE you'll need to annex heathen countries, preferable with Holy War, Counter Revolution war or Imperialism, then release them. When you release a heathen country they will adopt your religion, even if all their provinces are still heathen. This will, of course, take a lot of work, especially for large countries like Ming.
And, of course, all islands are impossible to bring into the HRE without modding the game, with the single exception of Corsica who belongs to the HRE at game start.
Edit: Be wary that aside from the rare rebels mentioned earlier, the only other way for a country to change its religious group while staying alive is to be reduced to a single heathen province then go bankrupt. the country will adopt the religion and culture of their one remaining province.