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You can't manage in all leagues; most of them are in the game. You wouldn't be able to manage in a country that doesn't have leagues included in the game.
You can manage some small nations, depending on the number of players. I think you need about 50-100 players in order to manage that country. When setting up a new game, you need to select Load All Players From:...
This will load all that nation's players, so it is more likely you will be able to manage its team.
On the Editor's forum, there are custom databases with existing leagues in FM swapped for a league that isn't originally in the game. I'm playing a game right now with the Bosnian and Hungarian leagues switched so I'm playing in Bosnia.
You can't manage in all nations; even loading all players from one nation means there aren't enough, ie, they don't have at least 50 players. But that's the way to manage some of the smaller nations, others you would have to add players in the editor to make up the numbers.