> How would you divide them?

I wouldn't. If your borders reached the edge of your theatre, you'd overspill into the next. It would allow you to focus things in your geographical region though, which would be handy for those few days you get when time is an issue. 

Perhaps I should only propose one theatre, the Europe/Africa/Middle East one would still offer a nice splice of cultures, whilst allowing for the possible migration of Asian-based peoples from the east. 

It's that, or we start looking at an even smaller picture, like the United Kingdom, or France, or the United States. Perhaps that would be best, actually. I could then open up additional theatres for "colonial adventures", which would make sense in a time where resources are at a minimum. You know, an established nation operating in Florida might want to send a naval expedition to Libya, see if it can't open up some of those oil wells.