There are so many micronations out there. Very small land areas that aren't recognized by any sovereign country. Some of them were created just for fun, some of them actually want to become sovereign states. If I recall correctly, a microstate is a tiny country that is recognized as a sovereign state (like Monaco, Nauru or Vatican City).
Here are some ideas if I were to create my own micronation. Some of these assume that I would have a lot of money.

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1. A chunk of Antarctica
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There are already several micronations there. One of the issues, of course, is that it's not very inhabitable (although the penguins would beg to differ).