For Germany it’s very important to be able to retake Norway. The Allies can tie down some troops in Finland because of this but it’s not unexpected. If Germany lets the allies take Norway, this is a huge drag on them and they wish they retain troops there instead to retake it…
Usually the path to harass the Axis in Europe involves UK contesting Normandy and Holland (free income and forces the Axis to spend to take them back, this almost pays for itself) and keeping the threat on Germany on with the US in position to invade Denmark (while threatening Southern Italy at the same time). Bombers are used against France and West Germany where possible.
There is nothing wrong to ferry US transports back and forth and have the fast US units speed through North Africa (leaving the slow units behind to be the opener in Denmark or threat on Southern Italy), it’s good to have these in the Middle east later in the game.
Keeping a surface ship in the Med is a good thing, you may be able to do that cheaply if you can use the Gibraltar air base and place a ship there before Italy’s turn. You get big leverage out of this which helps maintain a large enough fleet in 110.
Besides keeping that threat alive, the focus should be to hold Egypt, the Middle East, and clearing off / convoying the Med.
Given the supply lines, UK is better off building ground troops, US is better to build up Navy and bombers.
Once the UK can afford it, up the ante. That is, drop larger number of troops on the shore or accumulate a greater force that can reinforce Norway or Invade Germany through the Denmark straights. When that force accumulates enough it can also be used to hold Normandy after the US takes it. The US can crank cheap units to contest Southern France also and most importantly Normandy allows you to bomb Germany directly (usually the German air won’t be sufficient to defend all factories)
In order for all this to work, it’s key to wear down the German air force (this saves on required naval builds and also helps take pressure off of Russia). Dropping AA guns to reinforce the beach head will usually force the defender to commit more land units, or planes. If you can down a plane that way it’s great. If opportunity presents itself to trade allied planes or ships against German planes, try to do so. That means there is nothing wrong sending 3 bombers against 4 fighters, the bombers that get through will cause significant damage and while the air battle is a little less than even, it’s a way to reduce the German air force. Reducing German air force has many benefits such as helping future raids, making it more expensive to retake beach heads, reducing threat on ships, reducing ultimate offensive punch on Eastern front, etc.)
So basically the allies must be a pest, contest income, harass and wear down German air force and production. Assembling a decisive invasion force to take and hold a specific objective usually won’t work.