Would it be possible to start your Empire off as how you left it at the end of HOI? Much time would pass and it perhaps would be completely irrelevant by the starting point of Stellaris, but it would be interesting. Especially if something you did in CK2 was referenced as to leading to some scientific discovery thousands of years later through game play.
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I don't think Stellaris is going to be in the same universe as other paradox games. It would make little sense, because the game takes place in space, not just on Earth.
Also, what would convert over, anyway? If Earth is even in it, none of the provinces would convert, the mechanics for government are probably all different, etc.
True it would definitely be difficult, but just having perhaps little mentions of "civilizations long past" would be entertaining.
And how would they handle a fractured earth, where it´s not a single faction that holds power entirely?
The other Paradox titles do not seem to struggle with that aspect. I'm not suggesting a huge influence just one or two bits of details that may be mentioned.