Wow, sounds a lot like my first game with Germany.
First off, you have to wait. The Anschluss event fires in 1938 (somewhere), you get cores on all Austrian provinces, their industry and army, Hungary as an ally, and continue with an even that first gives you Sudetland, then the whole of Check piece of Checko-slovakia (you only get cores on Sudetland, though).
The final event in that sequence is Danzig or War which starts the whole mess.
So, when playing Germany, it pays to be patient, use the 3 years leading up to the war to prepare, build a navy, muster a massive army, and then wait until you can unleash the storm on an unsuspecting Europe.
Otherwise, weird things happen, the AI tends to go a bit crazy when you do something unexpected or totally random (such as, say, the Allies fighting the Comintern at the same tame as the Axis, Poland being a member of the Axis

).
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