Sometimes,if you download enough league's you get the option to manage a small country,like once I downloaded 6 of the major league's and I had the option to manage Libya
the best way of making sure you can manage a small nation is to either download it's league from one of the threads on here or to load a custom database size which includes players of the nationality that you might want to manage.
I found out how to do it yu have to when choosing database size click custom and load all players from Saudi Arabia and then confirm and you can become manager of Algeria, albania, Saudi Arabia and loads of others (A)