[Edi]

There are several mods with custom sprites for the nations in those mods, but not much for the vanilla ones. You need to look around. Check the mod list thread for links to the different mods.

And if you do want to use sprites that someone else has made, ask permission first. People put a lot of work to those and may be a bit touchy about it if you just use them without permission. The very least you must do is give credit to the people who made the sprites.