Many ethnic peoples of the former Soviet Union fought against the Russians, often in ethinc units. I have not been able to find any actual civilian governmental organizations for any of them, even the Baltic States which had been independant before the war.
As for Albania and Montenegro I have not been able to find anything for them that was not part of Italy.
I suspect that had the war gone on longer, or if the Germans won the war there would have been more puppet governments in these areas.
Mike "Bunkermeister" Creek