Me too are working on a Global 1939 game, for non-commercial use in my own basement, so I am happy to share ideas.
First, I don’t love the straight jacket scripted game with fixed entries. In that case I rather watch TV. So must of your options are out, and I voted OTHER.
Now, if we read history, it is a pattern. In the real world there are no true neutrals among the minor nations, nor is it any pro-neutrals neither. They are all plain neutrals. And no strict neural have ever gone to war because another neutral was attacked on the other side of the globe. It don’t work like that. Turkey signed the Balkan Pact with Romania and Greece just before the war started, but when Romania and Greece got attacked, Turkey did nothing. Pacts, Alliances, Treaties are not worth the paper. Action is everything.
Rule 1. The pattern is that minors who were pro someone, joined that party before the war stared. It was not necessary to move a friendly army into them.
Rule 2. Another pattern is that when parts of a minor neutral got occupied, then this minor would join the other side.
Rule 3. Major neutrals like USA and Russia are not neutrals, they are players just waiting for a good opportunity.
examples 1. Hungary, Slovakia and Bulgaria signed the Pact of Steel before the war started, they were not pro neutral, just non-belligerent waiting for the start signal. Poland was not a neutral, it was allied to France and UK.
examples 2. Russia attack Finland and occupy the Viborg area. Now Finland are no longer a neutral and will join any enemy of Russia. France and UK want to join Finland, but cant find any way through. Germany is the first player that is able to move units into Finland, so now they are allied, even if the Finns were pro-democracy before the war.
Then Russia attack Romania and occupy the Bessarabia area. Romania actually had alliances with both France and Turkey, but paper is worthless, so Germany move some tanks in and Romania join the Axis.
Now Germany attack neutral Norway, and UK and France move units into the parts of Norway that is not occupied, and Norway becomes an Western Ally.
Then Germany attack neutral Yugoslavia and neutral Greece, and they both become Western Allies as soon UK is able to land units there.
Germany attack neutral Belgium and Netherland, and they immediately becomes Western Allies.
This pattern is true for the whole world both during WWI and WWII.
Russia was not a neutral in 1939, it attacked a lot of neutral countries like Baltic States, Poland, Romania, Finland, Persia and Japan in Khalkin Gol, and supported Mao in the Chinise civil war. Russia don’t enter the war in Turn 4, it is building up and are free to attack anytime when Stalin think the time is right.
USA is not neutral, its non-belligerent and building up waiting to be strong enough. In the mean time it send Lend Lease stuff to everyone that is in war against Germany. How could USA occupy neutral Iceland if USA was neutral ?
Another funny pattern is when former Allied countries got their Capital occupied. It looks like they turn neutrals. Take Paris and all French units turn neutral. Take Rome and Italy turn neutral