Finland was a Nazi country that fought for Nazis and helped to do genocide in Leningrad, had death camps of its own and also participated directly in Holocaust.
Looking forward to when Paradox gives us a wholesome Ukraine DLC where you can revolt as fucking based Bandera and there's a "purge Poles and Jews" mechanic!
Bandera is in the game already if Ukraine becomes independent and fascist (although if Nazi Germany conquers them they can put a different German fascist in charge). HOI4 just kinda pretends the Holocaust doesn't happen, which kinda whitewashes the fascists but also I don't want to know what the HOI4 community would do if the Holocaust was actually in the game.