How to play as the Axis side?

According to gamefaqs, the controller buttons are matched like this for the Wii supported controllers :

Wii Remote (Hold it sideways):

Control Pad: Move cursor

  • 2: Select
  • 1: Cancel
  • +: Pause
  • -: Switch between "Fight and "Surrender" while paused

Wii Classic Controller

Control Pad: Move cursor

  • A: Select
  • B: Cancel
  • +: Pause
  • -: Switch between "Fight and "Surrender" while paused

Gamecube controller:

Control Stick: Move cursor

  • A: Select
  • B: Cancel
  • Start: Pause
  • Z: Switch between "Fight and "Surrender" while paused

And to play Axis :

Select 1P continue at the title screen while holding Select. While still holding Select enter the password of the level you want to play on. When the stage starts, you should be in control of the Axis forces now.

Since Select is button 2 on the wii remote, looks like you didn't press the good one.