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I just realized that Burma country is owned by India. Is it not possible to create a nation without associating a production to it? In this case, Burma hexes could be owned by Burma at the beginning of the game.

The border is just for visuals. Burma was part of India at the time if I remember correctly.

Burma was already separated from India in 1941.
https://en.wikipedia.org/wiki/Myanmar

On 1 April 1937, Burma became a separately administered colony of Great Britain, and Ba Maw became the first Prime Minister and Premier of Burma. Ba Maw was an outspoken advocate for Burmese self-rule, and he opposed the participation of Great Britain, and by extension Burma, in World War II. He resigned from the Legislative Assembly and was arrested for sedition. In 1940, before Japan formally entered the war, Aung San formed the Burma Independence Army in Japan.

As a major battleground, Burma was devastated during World War II by the Japanese invasion. Within months after they entered the war, Japanese troops had advanced on Rangoon, and the British administration had collapsed. A Burmese Executive Administration headed by Ba Maw was established by the Japanese in August 1942. Wingate's British Chindits were formed into long-range penetration groups trained to operate deep behind Japanese lines. A similar American unit, Merrill's Marauders, followed the Chindits into the Burmese jungle in 1943. Beginning in late 1944, allied troops launched a series of offensives that led to the end of Japanese rule in July 1945. The battles were intense with much of Burma laid waste by the fighting. Overall, the Japanese lost some 150,000 men in Burma with 1,700 prisoners taken.[69] Although many Burmese fought initially for the Japanese as part of the Burma Independence Army, many Burmese, mostly from the ethnic minorities, served in the British Burma Army. The Burma National Army and the Arakan National Army fought with the Japanese from 1942 to 1944 but switched allegiance to the Allied side in 1945. Overall, 170,000 to 250,000 Burmese civilians died during World War II.

Not sure the Burma Independence Army is something to add in the game. Just in case, its history is here:
https://en.wikipedia.org/wiki/Burma_Independence_Army

At last, at the beginning of the game, I am surprised to see that four hexes of Burma are already owned by Japan.
You can see them North East of Rangoon in the above screenshot.

It is due to supply