I would love to do a historical game in which the primary conflict deals with maintaining the integrity of the state. My biggest problem with the EU games paradox games is that they grant the player absolute and authoritarian control over the state. This isn't accurate. The struggle in any state is motivating the major players of the state to go along with what you want to do. The CK series has probably gotten closest because you have to cede administrative control of provinces to other nobles who may have aspirations of their own which might conflict with your goals.
The other big part of it I would love to see in a game is one which actually portrays time and travel historically. Going back to EU, the biggest advantage you have is that you can see what's going on in all parts of your kingdom/empire at all times. Your capital is in Madrid and you can see everything happening in your colonies in Mexico and Jakarta down to the minute. This is silly from a historical accuracy standpoint. Even in the 16th century it could take months for news to filter just from Brittany to Lyon or Bordeaux. It wasn't until the 17th century that you really get anything bordering on a permanent administrative capital in a European state. Kings traveled around their countries almost endlessly, holding court, hearing cases, dispensing patronage to the local elite, ensuring taxes were being collected properly and with a minimal amount of embezzlement. I would love to see a game do that.
You play the administrative ruler of the kingdom. Just him, you control nobody else directly. You pick administrators to run your provinces. Finding the right administrator can be a difficult task. You need to find someone who is competent and loyal to the king, but at the same time plays nice with the local elite and isn't going to stir up unrest. News needs to arrive to the king for the map of that region for information to become available. Obviously you can station your king closer to a region to get news faster, but that could also but the king in danger. Moreover if the region in question identifies as a different ethnicity or doesn't like the king, stationing yourself closely could cause unrest or harm tax collection efforts. In some provinces autonomy or client-status may be preferable, even if it means you have less direct control. On the other hand, if the province is far-flung the whole region could have been plunged in an uprising or the noble could have taken arms against you without you having the faintest clue until he's already burned through half the territory.
Military management could be interesting likewise, although I don't know how doable it would be, given how AI tends to play out in these games. EU becomes a fairly easy game because you have absolute control over the movement of your armies. You are free to micromanage every piece of every unit to your heart's content. This isn't how things tend to work, historically. Instead you have to appoint generals to run your army. Again, loyalty is important, especially here as you're giving a potential upstart a sword with which to behead you. But you also want competence. You could put in a sycophant, but maybe they're just good dancers/court men and know nothing of combat and loyally piss your armies away. Maybe they're unfair disciplinarians and your whole army revolts on their watch. You can set general goals for your generals, but the day-to-day management of troop movements, tactics, and recruitment are left up to them. Meanwhile, again you're stuck relying on news to filter in to know if your attacks are succeeding. You can personally take command of the army to a) control the movements of your army yourself, and b) gain much better vision over how the war fares, but it comes with the caveat that you are exposing yourself to risk via death in battle or from disease, and the added drawback that news from elsewhere takes longer to filter in and you have looser control over your dominions and there is a greater risk of revolt or dissent in the ranks.
An idea like this may be beyond current technology and I don't know how much of a market there would be for such a game. Most people like being able to pain continents in their color, and a game like this would make simply uniting Germany or Italy, or Hispania, or simply keeping England or France together a monumental task. I would personally love to be able to do something like this, though. To show, through game form, just how monumentally difficult and how incredibly powerless rulers were in this time period.