Against good allies, plan on being on the defensive. Russia will come at you, and it won’t take long for the Allies to sink your navies and start coming over the Atlantic.
I recommend that you do conquer Egypt on the first turn, but then leave it at that. You will likely lose Egypt shortly afterwards, so I recommend taking your African Army across the Suez and into Persia to be a little bit aggressive against India and Caucasus.
Fighters and Bombers are good, you’ll need them for sinking the British Navy (especially on turns 1 and 2). Infantry is pretty good, but I recommend some tanks and artillery as supplements.
From there, just try to keep Russia busy while Japan spreads through Asia. Ask your Japanese Ally to make a decisive goal of taking a straight line to Moscow through one or two of the three paths to Moscow (either north of mongolia, or through China, or through India).