At the risk of infuriating the Director General Feldmarschall, I will add my own manure to this child's mess.
Canada, Australia and New Zealand were Dominions of the British Empire during this time period. Their foreign policy was dictated by Whitehall, not Ottawa, Canberra/Melbourne (can't remember when they moved the capital), or Wellington. Military operations were conducted not by separate Canadian, Australian or New Zealander High Commands, but under a unified command structure under British generalship.
As for the "other small countries", let us examine what they could be by continent:
North America: Canada - No. See above.
South America: Don't see any need for additions here.
Europe: Not here.
Africa: Not here either.
Asia: None. We've even included nonstate entities like "Chinese warlords", "Anfu China" and "Fengtien China", so we've done extra bits. I propose awarding ourselves a special cookie for this generosity.
Australasia: Australia and New Zealand, no, because I've explained already. See above.
Antarctica: No nation here as far as I know.
So I am really baffled at what is meant by "other small countries". I'm very, very perplexed, honestly. I'm banging my head on the wall and poring at atlases, and I cannot think of new countries to include. Oh the horror! Such an intellectual crisis cannot be reconciled! I fear I may descend into madness, in a manner akin to that great German philosopher Herr Nietzsche who experienced numerous intellectual crises!
Moreover, every land province in the game has been given to a country.
Aha! I have a resolution! The sea provinces are empty! The hordes of Atlantis arise from the depths of the oceans......