Best nations for newbies are either Hungary, Bulgaria (it's a good starting nation, but it's focus tree and mechanics are a bit daunting), Canada, South Africa or Australia.
Romania is fine--but King Michael's robbery is an annoying mechanic that really drags the beginning of the game. Can be a tank minor, AT infantry line holder, or marines based build.
Hungary has a simple focus tree, easy mechanics and is protected by Germany right up until the very end so you get to experiment and play with all the mechanics. You can play it as an air, tank, or infantry minor.
Canada is similar to Hungary, just a slower build up. Can be played as a tank minor and can get your feet wet in ASW as it has a good bonuses for anti-sub work. Helps you learn how to avoid losing your convoys/forces to raiding.
Australia tends to be protected from raiding for the most part, has a good tech tree to specialize in a variety of items. Alongside Romania, probably the best nation to learn naval invasions outside of the majors.
India is a lesson in living with debuffs, and building a nation to survive against a superior foe. India is the lesson that Japan's experienced troops will devastate even your veteran troops.
Japan is a lesson in infantry based land micro, then you get to play the navy game the rest of it if you'd like. So a good intro to carriers.
Germany is where you learn tanks, encirclement combat, air and CAS.
The USA is a good lesson in everythingism.
Italy and the Soviet Union are specialization builds with a ton of mechanics if you'd like to ratchet up the political challenge.
UK is for masochists in the current game, especially multiplayer.. Your BBs will get slaughtered by Super Heavy BBs that the Axis can build from the start of the game practically, they'll have their first set out by 1940, they'll have their second set out by '43. So you need to build a nimble carrier fleet to hard counter them while devoting enough IC into mils to build up blocking forces to support your minors in Egypt, all the while trying to win the air war, all the while getting ready to pivot into special forces amphib drive tanks to invade the mainland.
Mind you you have to have Africa cleaned up by the middle to end of 1941 so that way you can pivot forces to Asia to hold off the Japanese.