In 1934 King Alexander I of Yugoslavia governed his country as a personal dictatorship (6th January Dictatorship) after ethnic riots had lead to assassination of Croatian leader Stephan Radic in 1928. Radic's death triggered a crisis that bright Yugoslavia near to civil war and the King assumed extraordinary powers to avoid an escalation. Supported by Italy and Hungary, a terrorist and fascist paramilitary organization of Croatian separatists called Ustasha started a terror campaign in Yugoslavia: thanks to secret bases in Hungarian and Italian soil, they killed hundreds of Serbian officials and bombed many trains and public offices. Also the Internal Macedonian Revolutionary Organization, a group of Macedonian bulgarophili nationslists, had support from both powers to commit terroristic attacks in Yugoslavia. After an other attack in 1932, King Alexander called personally Mussolini and told him "If you want to have serious riots in Yugoslavia or cause a regime change, you need to kill me. Shoot at me and be sure you have finished me off, because that's the only way to make changes in Yugoslavia". Fearing Italian ambitions and German and Hungarian rearmament, Alexander was a strong proponent of Little Entente, a France-sponsored alliance between Yugoslavia, Romania, Greece and Czechoslovakia. But in 1934 Alexander was assassinated together with French Foreign Minister Louis Barthou, an other strong supporter of Little Entente, in Marseille, during a state visit to enforce the alliance itself. The assassin was a member of IMRO trained by Ustasha, probably in a base in Hungary or Italy, and Yuogoslavia accused Mussolini to be responsible of the attack, asking for extradition of Ante Pavelic, Ustasha leader living in Italy. But new French Foreign Minister, Pierre Laval, wanted to ally with Mussolini and said to Belgrade that France didn't want start a crisis for Yugoslavia's sake. Privately Laval asked to Mussolini to not extradite Pavelic to avoid a confession that implicated Mussolini himself and Il Duce assured him about it. Shortly after the Little Entente, with its main supporter and one of its founders, collapsed, with Romania allied with Axis side, Czechoslovakia forgotten at Munich and Yugoslavia and Greece that tried in vain to preserve their neutrality.
But what if the assassination fails?
King Alexander survives and continues to escalate with Italy, while violence in Croatia explodes. Between 1935 and 1937 Italy is greatly busy in Ethiopia and Spain so no war, but in 1938 Germany takes Austria and Czechoslovakia and Mussolini wants to demonstrate his force. In HL he invaded Albania but in this case the perennial crisis with Yugoslavia is an opportunity too tempting to pass up.
So 7 April 1939 Italy invades Yugoslavia but the war is a disaster. The Little Entente declares war to Italy while Hungary and Bulgaria sides with Rome. Germany decides to save the Mussolini's face and enter in the conflict, that Hitler thinks will be brief and limited, "a good occasion to train our brave German soldiers against some inferior slaves" he says to his Generals. France, on Barthou's pressure, respects the Little Entente Alliace better then the France-Czechoslovakia Pact and declares war to Berlin, followed by United Kingdom. Because Germanu annexed the rest of Czechoslovakia only three weeks before, violating the Munich Agreement, a Czechoslovakian Goverment in Exile is immediately settled in Paris. United States and Japan declares themselves neutral to start to hate each other while Soviet Union too stay neutral, at least for the moment, because, real words of Comrade Stalin, "this war is a beautiful opportunity to push Fascist Nations against Capitalist Nations and leave them killing each other". However, with no Ribbentrop-Molotov Pact, Moscow remains with free hands for the incoming world war.