That's not necessarily dispositive. Copyright holders in the US also own the right to exploit any potential markets for derivative works. If your mod (which is all your own work, but is a derivative work with the sole or primary purpose of modifying/enhancing/altering Paradox's product) cannibalizes 'sales' that would have otherwise gone to Paradox, then that's probably* infringement.

*I say probably because there's still the fair use doctrine... It's not nearly as easy to win or as clearly defined as most internet comments on the subject would lead you to believe, though, and in most jurisdictions the single most important factor is whether the tangible/financial value of the allegedly infringed copyright is in fact reduced by the allegedly infringing activity. And remember, the right to control derivative markets is part of that bundle of rights. In other words, part of the financial value that Paradox is entitled to realize from its IP rights to Vicky 2 is the sum total of all derivative markets for things like mods and DLC.

Of course, if you write some original IP and format it as Vicky 2 mod files, you still own that original IP. Maybe if you used some Paradox-developed mod tool with a well-written EULA they could claim that as well, but they can't claim ownership of every original idea you have that you choose to associate in some way with their IP. They can, however, block you from distributing a derivative work of your own creation based on its effect on the value of their copyright. If Paradox could demonstrate that they actually did intend to sell mods similar in function and content to yours, there's a very strong chance they would win that lawsuit.