Why not Colombia, or some other South American nation with oil? South America has a good bit of resources and the potential for nations to rise and become strong. There is a lot of underdevelopment there, but that just gives you something to do. And if you work on fixing up whatever problems the nation has, and make use of its resources, you can become a regional power. 

Your reach beyond South America will be very limited, but if you played things right and it all made sense, you could justify them spreading out their influence. I mean, look at Armenia. Evan took a country nobody knows anything about and, through sheer post count (and a bit of creativity) turned it into something strong in the region that has been able to spread its influence as far as Greece. 

And if you want to be able to fight shit, you'd have guerrillas there that can be your punching bag whenever you feel the urge. There's a lot of potential with that too. Some jungle storyarc with guerrilla fighters could be really interesting. Plus you'd have Mihn to keep you company.

You would be less restricted in South America than you would be as Norway. I mean, even real-life Norway is pretty weak and just sort of.. there. 

EDIT: Also there's this to strive for, and fight Mihn about: http://en.wikipedia.org/wiki/Gran_Colombia