My fav country to play in CoN is Russian Empire since you do not have many fronts but the down side is if you are going for naval that your only port is Arkshangel which you have to go all around Finland and Sweden to get it into the ocean
Safe start: South US, Russian Empire, Caucasus, United Kingdom -> little neighbors, on the eastern/western ends of the map so there is only one general direction to expand.
Fun start: Germany, Poland, Libya, Yugoslavia -> lots of neighbors, likely embroiled in war early on, centralized location meaning no need to change capitals for the entire game, very weak in the short term but powerful in the long term.
I believe I've won using all the mentioned countries above.
"As long as there are sovereign nations possessing great power, war is inevitable." Albert Einstein
"Giving up is not an option in war, for it proves one's incapability and incompetence as a leader." - Me (Little Racoon)
If u care for your stats, don't take Germany, Poland, Yugoslavia. I tbh, like UK. Safe start, make-some-navy and you are protected. But making conventional army-tanks and mech/mot infantry is not much powerful as it needs to embark/disembark lot many time. I make SP-Artillery, Air-force and my personal favourite- Paratrooper. I with 2-3 tanks of my army will attack France/Germany and go for outer provinces. Once I make an airbase in a province, I send all of my paratroopers to his cities.
Caucasus/Egypt/Turkey/Sweden/Finland also provide a safe start. In Sweden/Finland- all u have to do is make navy and send all army to northern borders for defense.
When Caucasus, I always go attack Ukraine. Attacking turkey is a problem due to the Caucasian mountains. But Comintern doctrine is not what I always like.
Italy also is strategically good. The northern mountains provide you with increased security. Make some artilleries on north and navy in Mediterranean, and u will be safe enough. Being Italy, Yugoslavia is the best country to attack. The Axis Doctrine also provides increased strength.