What if Those Wacky Nazis had acquired nuclear weapons? What if the Soviets had started the war? What if Cuba became a major empire? All of these and many more can be explored by the player.
Of course, there's nothing stopping you from continuing a game for as long as you want past the usual end. While many nations will do what they historically did without your interference, timelines of games can range from very historical to Stupid Jetpack Hitler. While it does take place in that time frame (the earliest starting time on a scenario is early 1933, the latest is 1939), what actually happens in that time frame is largely up to you. While the main purpose of the game is to prepare your country and fight in WWII, the series is heavily open to Alternate History, and as such, each game can vary wildly. These games allow you to take control of any of the nations of the era and rule as you see fit.