With the extreme fragmentation of Europe in recent years, it is hard to imagine additional small countries, at least of recent vintage.
Going the other way...
One possible alternative could be a surviving Great Hungary.
Or a surviving Great Poland.
One must also remember that Europe extends to the Urals.
The Khanate of Kazan might have remained independent of Muscovy, the Golden Horde might still rule the lower Volga, the Khanate of the Crimea might still exist.
Though what it seems you really want are different nationalisms in Europe: not different national states, but different groups who self-identify as nations.
There is of course separatism in Catalonia and Galicia, in Scotland and Wales, and in Corsica.
For a synthetic nation - suppose that after WW II, Stalin proposed East Prussia, or at least the Soviet section, as a Jewish homeland. Let us further imagine that this project attracted the surviving anti-Zionist Orthodox Jews of eastern Europe, such as the Satmar Hasidim. There would be a conflict between the anti-religious Soviets and these Jews, but they might prefer that difficulty to trying to get into the U.S., remaining dispersed among potentially murderous Gentiles, or defying God by moving to Palestine to set up Israel.
OTL, the Satmars moved to the U.S., where they became known for having enormous families. One Satmar matriarch, who died in 2010 at the age of 92, was reputed to have 2,000 living descendants. The original chief rabbi of the group is said to have decreed large families as a response to the Nazi attempt to exterminate all Jews, including them.
With a substantial seed population, and this creed in place, there could be a nation of them by now.
If the