Go for the money. Each nation has a ‘target’ region where she will get the largest economic boosts and should go for that while helping out her allies.
Germany = Northern Russia/Russia. Go after Novgorod and hold on to Norway. Slowly push russia back with your chosen advantage (mobility, unit count, larger airforce, whichever route you take).
Italy = Mediterranean. Keep your fleet intact, smash Egypt and get both of your NOs. Assist germany in southern Russia if your able.
Japan = India/DEI. Take DEI, hold it, and push toward India while smashing China and stealing some Russian territories.
Now the allies have huge ‘swing’ power. As in they can bring a large amount of there income against one side of the board or the other. However, the axis have the advantage as the allies are terribly positioned. If they go hard at one side or the other you should go after your secondary objectives once your primary is reached, focising on assisting your struggling ally.
Germany = Go after the UK. If you are being ignored at start to hit the 60s in income compared to Russia being in the 20s, its time to start gearing up for sea lion mate. Also, get some subs on the board and start going after the good old convoy zones. Without a large US commitment you can control the Atlantic. And Japan is one of the hardest nuts to crack so don’t overly worry.
Italy = Middle East. Push toward India from the backside, also opening up a second front against Russia and stealing UK monies.
Japan = Middle East/Africa/Southern Russia. Bloat your income by stealing some ANZAC stuff, Pearl, etc. Then push to help out in holding Egypt, Africa, and maybe even Volgograd to get your allies some more money. A turtling germany/italy can make a crapton of units to hold the UK/US at bay.
These are just generalized suggestions, you should speak a bit more on what the allies are doing to win the games.