Note: This procedure requires editing a game file; creating a backup copy of the file before proceeding is recommended. Start a new game with any country. The best choice is the one that is currently occupying the unselectable country that you want to play as. Note the provinces and their current owner. For example, assume you want to play with Croatia. Croatian provinces belong to Austria at the start of the game. Use a text editor to edit the files in the "history\provinces\austria\" directory in the game folder. All the Austrian provinces' files each have a number. The Croatian files are from 770 to 782 (for example, "771 - Zagreb.txt". Open each file and they should have entries similar to:
owner = AUS controller = AUS add_core = AUS add_core = CRO add_core = HUN add_core = YUG trade_goods = timber life_rating = 35
Change the owner and controller to your country's code (for example, CRO). Start the game and you should now be able to select Croatia at the beginning.