I'd go for India or the Carribean. India has rich developed places to simply take over, while the Carribean sugar colonies are the great moneymakers of the era.
Not in the games timeframe. Africa was mostly untouched until 1860 or so.
It would make a lot of sense to make it a trade theatre. Except for South Africa it has a pretty hostile climate and nasty diseases. Europeans only built trading stations on the coasts and generally died like flies. Inland trade was almost exclusively handled by locals. The scramble for Africa only came almost 100 years after the game when the Europeans had better medicine.
Tripoli should be reachable though. The corsair states of North Africa were a major nuisance and are very close to Europe. But their land should be rather useless, there are barely any resources in the area:p
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