It's been a while since I've played MP but generally:
Canada: Fighter 2 and/or mech rush, if your Canada is going to be air controller Canada can either put all its factories on fighters the whole game or build CAS/TAC and let the USA and UK produce the fighters. If Canada rushes mech the USSR can license it to get production efficiency going early. With no South Africa player to build tanks and no France, I might advise UK being the air controller instead and Canada building mech for Africa so that you have something that can defend El Alamein against German tanks.
UK: Fighters and special forces, with enough infantry to defend the home islands and Egypt. If there's no India player the UK will have to make infantry to defend there too. Rush to General Rearmament and Fighter Command ASAP, get fighter 3 as quickly as you can. In a more full game, Australia can use its ahead of time bonus on fighter 3 and everyone else can license it for the research boost, but UK will be the one getting it first with no Australia. Most of the UK's industry should be on fighters. UK also needs to build convoy escort destroyers to prevent sub cheese and also have an answer ready for surface raiders. You can check the intel screen on Germany to see what types of ships he's building. Watch out to see if Germany is building capitals or subs. I've never really been a UK main so I can't help much with specific naval strategies other than route your convoys where you can give them air cover as much as possible, make sure to keep them escorted, and have separate fleets to deal with raiders. Also, the UK should make sure to build up the airfields and radar in Singapore and Borneo/Java in early 1940 to keep green air over the rubber.
USA: Navy, Fighters, and Tanks/TDs. Hard research fighter 2 and then use the bonus from the UK's Tizard Mission focus on fighter 3. Make sure to do the tank destroyer focus and rush anti-tank tech tree to make an OP TD - the USSR can license your designs and produce them himself, the extra hard attack is well worth the extra production cost. The USA can make amphibious mediums+amtracs for D-Day, or just spam normal mediums + amtracs or mediums + mech. The USA also needs to build good infantry and maybe even allocate tanks to defend the rubber in Asia, and also cover the Raj if the UK is stretched too thin. Without a Raj player Japan can feast, so the burden on the USA and UK is going to be heavy in the Pacific. Alternatively, the USA could do a dockyard heavy build and go straight for Japan's throat to take them out of the war at the start, Japan players sometimes aren't ready for that and don't have good troops stationed at home. Carriers (and kamikazes) are not in a particularly strong state right now, so Tora! Tora! Tora! is less threatening during the first six months of the pacific war than it used to be, allowing the USA to be much more aggressive early. If the USA is going for a Pacific focused strategy, rushing 1940 medium airframes for heavy fighters and tactical bombers would be a good idea as it is hard to have decent fighters with the range to cover much of anything in the Pacific.
USSR: Tanks, and only tanks. Get 1938 mediums ASAP and put them into production with heavy machine guns, rush down the AT tree, get 1943 AT guns, and refit them onto your medium tanks and TDs. License TDs from the USA if possible, build your own otherwise. Spam mech 1 to go with your tanks, license it from Canada in 1937 if possible to get early production efficiency. Have AA in all your divisions, put 5 factories on basic AA at the start of the game and add more later. Use concentrated industry and just build the same 1938 mediums/mtds and mech 1 the whole game with most of your factories, with enough infantry to go with them. Defend in heavier terrain and the Stalin line.
