This game is really about collecting titles. Count of X, Duke of Y, King of Z, Emperor of All the Things, and so on.
You get to pick which of your highest tier titles is your primary, which is the title that displays on the map. But your character is going to have a ton of other titles. Other characters with other titles will be your vassals and part of your realm. You'll take new titles, and grant out new titles during the game. You will probably destroy some titles that you don't want to hold and you don't want to give to a vassal.
Titles each have a de jure territory -- counties on the map that belong to them. The Duke of Somewhere includes the Count of A, Count of B, and Count of C. If you hold those counties, you can create the Duchy of Somewhere. Then you might keep it, or grant it to your son as a vassal to you. Or the Duke of Somewhere might already exist, yet not hold the counties that should belong to him. He may declare war to take them as his rightful territory. Or you might usurp the title from him.
You're not playing a country. You're playing a person, and then his heir. And that person has a collective of titles and vassals. Which make up a realm.
So you don't really create a new country, or form unifications. You're not a nation state. You're a person. There are titles that don't exist at the start of a 1066 game that you can take the land to create. So there is no Empire of Brittania at the start, and if you take enough of the British Isles you can create that title. Then your character is Emperor of Brittania (in addition to King of England, King of Wales, Duke of Northumberland, Duke of Cornwall, and Count of a Ton of Places). That's sort of forming a new nation. But sort of not.
It's a different sort of game from what you're used to. So your question doesn't really make sense given the game.