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Playing on historical elite difficulty it is easy enough to conquer the whole world following roughly historical strategy up to October 1939. Then immediately knock-out France, launch Sealion, knock-out UK, annex territory in Canada, conquer USA, conquer USSR, conquer as much of the world as you can be bothered to.
Go Rhineland focus at the start for the Political Power. The first Advisor is Martin Bormann, Silent Workhorse, for the +15% to PP boost right off the bat. Free Trade next. Then get the Four Year Plan Advisor (Hjalmar Schacht) who gives a Civ & Infrastructure +10% speed boost. Then Improved Worker Conditions. Have 250 pp on hand for July 15 1937 when Japan attacks China. Send Japan an attache, and then go War Economy.
After Rhineland, go Four Year Plan -> Autarky -> Hermann Goring-Werke -> Kdf-Wagen -> Extra Research Slot. Then whatever you like.
Build Civilian Factories until late 1937, in higher infrastructure provinces first. After that build some Oil Refineries, and then Military Factories. If you're going for a big airforce, build more Oil Refineries for the Rubber, which you'll need when you goto war and your Rubber imports are cut-off.
Make sure you are building some army units so you have the army population to Anchluss and Sudetenland.
Send army and air volunteers (button at top right) to Fascist Spain and Japan & Manchuko. The goal is to get some army and air xp, and maybe level up a general or two.
And lastly, make sure you design a good army template. 20 Width is good for early wars. You can't go wrong with a 7/2 template. That's 7 infantry and 2 artillery, and for support companies maybe start with Artillery and Engineers. Add Recon and Logistics after you have lots of Support Equipment.
10/0 is also fine with support companies. I actually prefer 10/0 with some medium tank divisions, as less arty means more tanks you can build.
Poland first. Then attack the low countries & France early (early to mid 1939). Waiting till mid to late 1940 makes it harder.
I'd make sure I have lot's of upgraded fighters. Use 7/2 infantry or 10/0.
Go after Netherlands next. Then line up on north Belgium border, get max planning bonus, invite Italy, and attack. Rinse & repeat France.
Specifically for breaking through the Netherlands & Belgium, and then France:
Have good progress into Superior Firepower Doctrine with Integrated (rt side). Try to get 5 SP researched (down to Regimental Combat Teams) before attacking Netherlands.
Max planning bonus. Try to get green air, and have some CAS. I like to get the 1940 fighter by early 1939, and then dump 500 air xp into this new fighter design. Netherlands should fall quickly.
Rinse, repeat on Belgium. Make sure you have max planning bonus before declaring. Belgium should also fall quickly.
Line up on French border, and again get the max planning bonus before attacking. Push along the top of France, right across to the northwest coast. Good luck.
Bonus tip: Get 1 Collab gov't in Poland and 2 Collab govt's in France, for the extra production. I like to keep all of France (no Vishy). This super-charges your Civ and Mil factory count.
Bonus tip #2: Try starting with 12 factories on Fighter 1's, and keep producing with 12 until Fighter 2's, and then go to 30 factories on Fighter 2's (ideally by mid 1939). You can upgrade the Fighters 1's to 5 agility + 1 range quite quickly with the Spanish Civil War Air Xp. This will help you get green air when you attack Poland, the Low Countries, and France.
I will leave it here. It might help:
https://www.youtube.com/watch?v=rwjOn138Isc