these challenges are the very reason I keep playing FM through the years...
Wellington Phoenix/New Zealand: done in FM10 (and actually in CM with the Kingz...), australian champion, perennial AFC CL contender, took NZ to world cup regularly. Very entertaining, give it a try.
Toronto/Canada: won everything I could with the club, but could never get the NT job so I gave gup. Also, developping local youth players would be kinda hard with all the roster/cap limitations and without a youth team. Had potential to be fun, but not with this settings.
San Marino: classic. To take the club all the way from C2 to serie A isn't that hard, but to make the NT half-decent would take years of hard work and efforts... working on that right now!
Vaduz/Lichtenstein: nice idea, never tried that!
Welsh clubs/Wales: personally I'm a bit tired of english leagues but a Wrexham/Wales challenge would be cool.
Do Andorra and Luxembourg have club teams competing in playable leagues? or any other team like them?
My suggestion... Singapore League offers a couple of interesting challenges:
There is a Singapore Under 23 team (not controlled by NT staff, you have to buy/sign players like other clubs) competing in the league, it would be cool to manage them & the "official" NT, almost like having your national team competing in a league, quite a unique feat.
Then also in Singapore there is a team called Etoile, which is only composed by (and can only sign) French players. Try to lead this French team to the top of Asia (and world), attracting "local" players from better leagues and maybe (MAYBE) get the France job...
Another one, there's a Chinese club (don't remember the name now) who have their B squad competing in the Hong Kong league: take both teams to the championship, and get the NT job for China or Hong Kong...