In my HOI4 games, I love playing "Bad Guy" nations. Fuck, Burgundy in Old(Good) TNO was my favorite because it was so pulpy and insane while also being unfortunately not far off from what it would have been in real life had it existed. Himmler completely losing his shit and deciding to nuke the world to repopulate it with only "Pureblood Aryans", while running an entire country like a concentration camp? Yeah that definitely makes for very interesting gameplay...
...and then they got rid of the entire reason Burgundy was so interesting and turned it basically into Super Nazi North Korea. Also, you can't win no matter what you do, so you've literally got no reason to give a shit about how good you do since you're just going to suffer the Burgundian Spring anyway.
Maybe playing as Saddam's Iraq in Millenium Dawn and finally somehow winning against the evil Americans will scratch that itch.