Luxembourg: Grand Duchess Charlotte II von Nassau-Weilburg (most likely "popular figure"). Also, Luxembourg should turn into a Grand Duchy instead of a Kingdom, since that's its current state. But you could add an event for when Luxembourg either conquers Belgium or all of the Low Countries that it turns into a Kingdom.

Belgium: King Leopold III von Saxe-Coburg und Gotha

Netherlands: Queen Wilhelmina of Orange-Nassau

kaiser Wilhelm ii for Germany
Alfonso XIII for Spain
Christian X for Denmark
Haakon VII for Norway
Gustaf V for Sweden
Kirill Vladimirovich for Russia
Wilhelmina for netherlands

Michael I for Romania

France is a bit more tricky, as there are 3 houses holding claim on the French throne. Those are the House "d'Orleans", which had they succeeded would have had King Jean III, but he died on the 25th of August 1940, to which he would have been succeded by King Henri VII. For the House "Bonaparte", we would have King Napoleon VI. And for House "de Bourbon", we have Charles XII until 1936, and then comes the tricky part: Alfonso XIII of Spain, which in France would be Alphonse I until his death in 1941, and then Henry VI.

Germany: Also a bit tricky. Kaiser WIlhelm II said he would prefer for would Germany turn back into a monarchy, that his eldest son, who would have become Kaiser Wilhelm III, get crowned instead. Event it maybe? If you'll make the event, then the change in monarchs will occur at Wilhelm II's death on the 4th of June 1941

Abdülmecid II for turkey

Duarte Nuno for Portugal

George II for greece

Poland: Frederick Christian from House "Wettin", but that is a stretch, since there haven't been Kings in Poland for quite some time, so I just took the descendents from King Augustus II, who reigned until *1733*...

Hungary: Miklos Horthy (as regent), fascist should be Ferenc Szalasi.
Hungary at that time was a constitutional monarchy without a king and Horthy was voted for as a regent.
BTW in the game PMs and kings are mixed up pretty well.

Finland: King Frederick Charles von Hessen-Kassel until the 28th of May 1940, then King Philipp

Austria & Hungary, as well as Croatia and Czechoslovakia: Otto von Habsburg
Funnily enough, he would also be the royal leader of Switzerland, as the von Hasburgs were the most prominent noble family in the Swiss lands before they were pushed out by the Swiss Confederation.

Failed Kamikaze Pilot, could you please delete answers that have already been submitted before hand (good example is the Grand Duchess Charlotte, which was literally the first answer posted)? Also, could you add the number which they would rule by, and their dynasty's name?