Italy 1941 Strategy Guide
One of my favorite scenarios as it starts you off as set piece almost.
You can defeat the British in Africa - you just need speed and a sense of urgency (building an airforce is good but long term, you need to defeat the British with what you have.)
I - Destroy the British pocket behind your lines and consolidate your forces in Africa into two provinces facing the British (keep a division or two back to garrison your major port/airfield provinces.
II - Reorganize your airforce and have focus it on the African front, with your Fighters covering, your bombers interdicting, and your Naval regiments patroling/bombing the seas around Sicily (to look for British fleets).
III - Strategically deploy/march as much of your Army on the continent as possible to Taranto , keeping forces only to garrison beaches until they can be replaced by Garrison / Militia corps properly
IV - Form your Navy into two branches : one large Fleet of Surface Ships and Transports, and secondly some smaller fleets of Submarines . The Submarines you can use not for convoy but as pickets around the Med to trip up and trigger combat with enemy navies to find out their location.
V- The Surface Fleet you use ONLY to load up Army Divisions and the Sea Transport mission to the closest port possible in Africa, as fast as possible. You may even want to leave your old BB -Is behind to gain the 3kph of speed. Keep Sea Transporting forces to Africa as possible. If you get into combat with a large RN Battle Fleet then retreat and try again later.
VI- The bulk of your army and air force should now be in Africa, frontally assault the enemy (which you should by now outnumber) and send him reeling back across the middle east, use your Bombers (now) to Ground attack his formations.
VII - With Suez secure you can hold a line in Southern Egypt of 2/3 provinces and push into Iraq for it's oil, or you can amphibious operations against Allied Islands in the Med (or both). Gibraltar is nearly impossible without Spain so your options there are limited.
-You don't have the IC to use Offensive supply
-As for builds, I'd concentrate on Tactical Bombers / Escorts to destroy enemy forces as they move in Africa / Middle East ; infantry divsions, and garrisons.
You can lay down some Cruisers/DDs/Submarines and Naval aviation regiments. You can destroy isolated enemy transports and small fleets by using a fast fleet of Italy's Cruisers/Destroyers to engage in combat, kill, and then retreat before any large Battleship/Carrier fleet.
VIII - With a line held in Egypt , the Middle East Secure - you should have some time to build up before the US or British can again field a strong force in the area,,so you can send air support to Germany ,,etc.