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https://www.youtube.com/watch?v=d5Yt5_WPbhU
Start with Italy. There is a reason, why they're tutorial country.
You can decide if you want to go with Mussolini path or your own.
Mediterrean basin is easier to control and war in Ethopia gives you first hand experience how to wage war in HOI IV.
When you learn your ropes as Italy, go with Germany. With basics secured, you will be able to better manage them. True, there are cons to this country but among pros I would count monstrous industry and ability to dictate pace of war.
When you learn how to launch naval invasion, starting and winning Sea Lion isn't too hard (invasion of Britain). If you're daring you may do it by paradrop.
Basically: if you know nothing - italy, if you think that you understand basis - germany, when you learn how to play as germany - soviets.
I would suggest some minor/small nation so you can understand and learn what everything does and where everything goes.
Once you have seen the basics and got some experience go and play larger countries.
It takes many hours to be really good at the game.
Make your own fun! :D