Turkey and Spain are the overall strongest minors concerning industrial potential, so logically they are also the ones more cappable of building a strong navy.
But Spain gets the civil war and Turkey is kinda stuck deep in the Mediterranean, so in theory you could go full navy, but why should you?
This leaves with the next 2 realistic candidates which have have a solid start on the Atlantic ocean as well as several overseas provinces that can greatly increase your naval power projection, Netherlands (territories in Central/South America and Indonesia) and Portugal (Territories in the North Atlantic, Africa, India, China and Southeast Asia). They both start with 3 dockyards and 11 Civilian factories, this is actually not bad for minor standards.
Here Netherlands has the advantage of having oil and a bit of steel while Portugal has the massive advantage of not getting invaded by Germany in 1939.
Other advantages Portugal has is their very naval-oriented focus tree. If you really push for it, you can get +7 dockyards on your first 3 focuses alone, that's a whopping 10 dockyards by 1936.
Portugal also gets significant naval research focuses as well as naval doctrine research focuses, and as Portugal you are incentivized into taking these focuses soon because your 5th research slot depends on it.
You also have several other focuses to build naval bases and naval forts on many of your overseas possessions so you have a solid global projection.
Quick tip, if you turn your overseas possessions into colab goverments they will be able to do their generic trees and pimp their industry far more than you could possibly do yourself, and this could boost you into major tier-industry.
Your starting position is also relatively safe, since your only neighbour tends to remain neutral, and as Portugal you have means to ensure both you and Spain join the same faction to avoid Peninsular wars.
The only drawback is the lack of steel, chromium and oil, Portugal is flowing on Tungsten, but thats all the resources they have and its not very useful for navies.
The honourable mention is Sweden.
Sweden has the economic potential of the Netherlands but a much worse global presence, they lack oil and a unique focus tree. They are also not completely safe if they join the war on any side. On the plus side they have a lot of steel and chromium.