Your biggest threat is the Commonwealth Navy. If you lose to them its probably a long boring game of militia in Rome in my opinion (though you may be able to pull some colonial infantry shenanigans in Africa).
The best way in my opinion to not have that happen is to divide and conquer and to do that you need to close access to the Med so you can’t be squashed by the FEC navy and the home fleet. First goal is remove any ships in the Med as long as it doesn’t allow the Allies to remove your fleet on the counter attack. The second goal is the Suez for its value to the Allies and the fact that the Allies can’t force a canal. The third goal is Gibraltar because its expensive and doesn’t necessarily stop any ships with the new forcing a strait rule. This will take a ton of time and dollars that they don’t want to spend and even though you can’t stop them I would consider that a job well done.
Or you can sit back and hang the threat of your fleet over the Allies the entire game, but thats boring. At least you’ll do better than Mussolini did.