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I've spent hours trying to do this unsuccessfully. Anyone know ALL the files I need to change to do this?

It is not too hard. First, you need to make your nation's 3 letter or number tag, using something not already used. Then, you figure out what gov type and religion and culture your nation is, copying an entry from setup.txt will help you do this, and setup.txt is where your nation will go. Next, you'll need to add a file to the common/countries folder (I usually just copy paste another file, and all this file contains is your nation's on map color and ship names. Then, in countries.txt in the common folder, put your country in following the format all the others are in. So like for example, if your country is in Syria, you would put the country file in the common/countries/syria folder, and then add to the countries.txt like: AAA = "countries/syria/aaa".

That should be it!
 
go into the localization folder, and follow the naming of other countries, in the countries file in there
 
You are welcome!