I just quit out of a Sweden game after I invaded all the Nordic countries in an effort to get the achievement. France unfortunately intervened and I was forced to call in the British (who turned Fascist) to my aid, they took care of the French while I took over all of Scandinavia.
I was able to occupy and even take the decisions to rename to the Nordic Empire, but when France capitulated and it was time for a conference, Germany (at war with France also) and Britain had already taken everything I had conquered, leaving me a tiny piece of France despite not even having set foot in Europe proper.. So now in order to get my territory back I'd have to go to war with Britain and Germany with just Swedish and Danish industry.
I was able to occupy and even take the decisions to rename to the Nordic Empire, but when France capitulated and it was time for a conference, Germany (at war with France also) and Britain had already taken everything I had conquered, leaving me a tiny piece of France despite not even having set foot in Europe proper.. So now in order to get my territory back I'd have to go to war with Britain and Germany with just Swedish and Danish industry.