Start a new game with any country. Best choice is that one currently occupying your country you want to play with. Observe the provinces and their current owner. Let's say you want to play with Croatia. Croatian provinces belong to Austria at the beginning.
Exit the game and go to the folder:
Here you'll find all the Austrian provinces' files each having a number. Croatian ones are from 770 to 782 for instance '771 - Zagreb.txt'. Open each with a text editor, they should look like this:
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 code - in this case 'CRO'. Start the game and you should now be able to choose your country at the beginning.