Iv actually started this myself a few days ago and ill be glad to answer your question
1. You need to chose a tag in World_names , I am using U59 since its one of the few available. U57-U65 I can be sure are open.
2. Edit the 1936.EUG or 1914.EUG (if your doing DH full) and in the selectable countries set your countries tag
3. Make sure to make an .INC file for your country and make sure to include the location of that .INC file in the .EUG (also a good idea to make sure any provinces you give to your country doesn't conflict with another nation or errors will pop up.
4. Enjoy!
ofc your nation will be lacking a flag, proper counter tile, ministers, TT's, and leaders but those aren't required to get the nation working and can be added later on
I have also noticed you can make a new folder in the mods folder and add your files and such there without editing the actual game files, I assume you can do that then on the launcher your new nation mod will be selectable, but I am unsure of it and im using the old fashion mod enabler method for my home brewed mods.