I tested a game with luxembourg myself.
My game with Luxembourg is weird so far. 1941 and the Allies and Axis have both DOWed USSR. French forces have landed in Estonia but got beaten back by the Russians then the Germans took the area. French forces have landed on that peninsula in Northeastern Russia, and New Zealand and Argentina are taking turns battling the Soviets for Commodore (and losing). South Africa has landed in Batumi (on black Sea) and Britain has landed in Sevastapol and Stalino. Germans took Moscow and Leningrad and it seems to be a race between South Africa (reinforced by Iraq and Britain), Britain, Romania, and Germany on who and grab Stalingrad.
Afghanistan joined the axis and was conquered by the Soviets, but now England has a large mass of troops moving northwards from India. A growing portion of southern China belongs to Germany.
Odd game.
I've built 2 infantry divisions and am working on a pre-war tank. Level 5 fort and level 2 AA in Luxembourg, have researched 2 anti-tank guns and 2 infantry guns and 1 howitzer. Not in a war yet.
Added:
Ok, it ended with Japan (half-done with China and half-done with Mongolia) DOWing the USA and then France DOWing Germany [all three alliances are at war with each other]. Germany followed by DOWing me (I was neutral) and moved 10 troops onto my province and the four-hour battle was a slaughter.