I wanted to find out what would happen if the Allies went first. So I played the Axis for the first turn of the 39 scenario and had them do nothing - not as easy as it sounds - then switched to the Allies.
Oddly enough, the AI didn't handle this well

and Poland made it almost to the end of 40. By the fall of Poland Russia had already occupied the Baltic States. Then Wilno was transferred to a non-existent Lithuania. This created a very small "Wilno Independent Democracy for Peace" which the Russians can't enter whether Russia is Neutral or at War with the Axis. Since Lithuania is no longer on the Diplomacy menu they can't even declare war on them.
So, just a word of warning, if Poland makes it to December of 40, expect an independent Wilno.