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To go about annexing them, you have two options. Before going fascist, lower the autonomy of your puppets and annex them one by one, with convoy lend leases or other means. This means delaying going fascist which is a pain in the ass. It is also really slow.
My preferred method is rush going fascist by triggering the civil war as soon as possible by claiming places like london. Beforehand, delete your entire army and make some cav. The AI is broken for the civil war and wont move so you just use cav to run around and win the war. Then go to Canada as you still own land on the mainland and use your cav to run around them and win the war again (keep in mind, you need to get the focus for the wargoal against them). I have done this twice and won twice, once however, the US declared war on me. This is actually great as the US is the worst major power at the start of the game but holds a treasure trove of civilian factories. You can beat them with cav too. The war should then end as Canada will be the Allies only major. After that, taking Australia, South-Africa and New Zealand is easy. You border SA and you have a navy + land in Asia. Then just take out India which shouldn't be too hard if you invade them early. Managed to take all of the commonwealth, the US + France + Spain before 1940, but you need to be good with micro managing cav, managing naval invasions and rushing the focuses. Especially rushing the Fascist civil war, you want to be done with the civil war in 1936 if I remember correctly.
its not worth the wait and here is what i do. I take ireland as soon as the focus finishes, i position a naval invasion from ceylon and wait for pakistan to fight india at which point i ally pakistan for the duration of the war and kick them out so you arent at war with bangladesh afterwards. i declare on south africa while still at war with india and once both are finished up i go after the us and canada. you can have all of them before 1940 pretty much.