Here is how I proceeded.
I already owned the A&A Europe 1940 first and second editions, so with the pieces from all these sets, I had a good base for France, Germany, Italy, Japan, UK and USSR, plus the Chinese infrantry for KMT.
I also own the A&A pacific with red chinese soldiers that I am using for the CCP infantry (there is also one Pacific edition where the japanese pieces are red).
This still leaves a lot of pieces to buy from HBG or to scavenge from other sources (cavalry, neutrals, militia, air transports, medium bombers, coastal subs and battleships, TBDs, light cruisers, tank destroyers, advanced mech and artillery, SP-artillery (basic and advanced), motorized infantry (trucks), etc.).
Some powers have specific and different sculps available, but not all, so in the end you will need to paint pieces and still use some kind of tokens/markers to distinguish some special units.
As @Ghetty pointed out, if you can get your hands on HBG « wrong colour » pieces for units that you have to paint anyway, that is a good option to obtain cheap pieces. Their spare pieces from old A&A Games can also provide a cheaper option and can be purchased individually, but are not always available. For instance, I built almost all my Canadian forces for the CAW expansion with older « celery » color british units and painted what was missing.
I also bought some scupts from I will never grow up games. Unfortunately, I find that the 3D printing leaves a lot of visible « fibers » and the plastic is very brittle and small details can easily break, such as tank barrels and ship towers. IMO, the best sculpts from them are the German trucks which can be used for Motorized infantry (especially if you don’t own A&A Battle of the Bulge for the trucks).
I think that you have to see Global War as an ongoing project, as there will probably be new pieces available over time that can replace your generic units or markers.
I would not advise anyone to try to get « everything » before playing their first game. You have to go by steps and find out over time what you are missing and what can be improved.