The Armenian Kingdom, of course

At the start of this game, I believe it is the only real remnant of the Persian Empire that went unconquered by the Alexander and his successors (building a bridge on the araxes, only to be swept away...sending an army...only to have the generals hung and the army starved by the winter...good job Alex

).
I'm not quite sure what the starting date of EU: Rome is...so it'd be either the Orontid or Artaxiad dynasty (the former being *i think* the royal family during the persian period, the latter taking over later, ultimately conquering Syria, Phoenicia, Judea, Cilicia, and Cappadocia...)
It will be challenging
The Pontian kingdom, Rome, any other italian states, and the greek colony at Masillia are high on my list as well.