If we're already in a position to take the Scandinavian countries, there's no need to disrupt those plans. You can liberate Scandinavia as a nation, by the way, once annexed. They make a decent puppet state
After that, I think it will be time to either invade Italy, or achieve the long-held Russian dream of taking India from Britain. A swift strike through Persia/Iraq will open up both India and the Middle-East, also allowing an attack into Africa against British/Italian colonies.
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