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Take a free three letter tag for a country like KAL. KAL stand for Union of Kalmar but it doesn't exist in 1492.inc. First thing to do is to go to text.csv and change the name next to the KAL tag. Change it to whatever you want.
Your next step is to go to the .inc file and find a country that owns a province where you want to create your nation. Copy their whole country tag, paste it and chnage all their tag to KAL. Then begin chnaging everything else, assign controlled and owned province and create some national provinces.
Remmenber that for every owned province you need a city in your country code or the game will crash. Also no two cities must exist in one province so make sure to delete them from other countries when you add them to yours.
You'll have hard time getting rid of those natives. The best way to do something like that is to download IGC. Then open its .inc file and see what they've done with Uzbekistan, since it was build on neutral provinces.