It is easy to play as Manchukuo to conquer the world. First of all, change to Communist and start a civil war to break free from being an integrated puppet (You should be quick for it because Japan is going to declare war on China). 

Second, join the Comintern and try to take over Sinkiang by the help of the Soviet Union and then follow by Tibet ,Bhutan , Nepal and the Middle East as much as you can. While you expand to the west, you may try to fight against China to gain some of their land. After you have enough land, you will have about 3 options.

Options for Manchukuo after getting stronger:

1.Fight against the Allies
2.Fight against the Axis
3.Betray Soviet and fight against them
(You can do these 3 options while conquering the neutral countries)

For my let's play. I choose to betray the Soviet ,but unfortunately I didn't get any of the Axis's land because they are defeated before I finish the Soviet. Then I decide to break over the Allies and fight each of them one by one.

Note:It would be hard to conquer the world if the Allies still exist after the defeat of the Axis and the Comintern. You may break their faction by boots the different ideology in Britain, which make them become either Fascist or Communist. It will allow the rest of the members to leave the Allies, which will be vulnerable to take over them one by one.

Enjoy conquers the world!