Good question! To answer it, we need to look at the way nationalism and history work together to create national / ethnic identities.

'Germanic' is a messy word that can mean a lot of things. Linguistically, it refers to a family of Indo-European languages spread across several N. European countries. Culturally, it can refer to the traditions of various people groups who speak Germanic languages, archaeology from these regions, or more generally (in antiquity) to anything connected with 'barbarians' who lived on the north side of the Roman frontier. It's a very imprecise term, which makes it difficult to use academically, but very useful for building national movements.

In the 19th century, many countries - led by Britain and France - sought to increase their internal cohesion by fostering common languages, 'traditions', and cultures inside their borders. This was sometimes top-down policy (as when the French government tried to teach everyone in French schools French; before the 19th century, seven languages were spoken in France, and they weren't all mutually intelligible). It also worked its way up from the grassroots - even before Germany was united (1871), scholars like the Grimm brothers were arguing that all 'Germans' shared a common folk culture and should think of themselves as one united people.

In all cases, the development of these national identities combined a bit of historical reality with a lot of invention and reinterpretation. People in the lands that became, after 1871, Germany spoke very different dialects; Danish and Swedish actually had more in common with each other than some different 'dialects' of German in the 19th century. Arguing that Danish and Swedish were spearate languages, and that German dialects were branches of the same language, wasn't a simple statement of facts - it was spin, a political move to 'discover' connections across the different regions that were becoming Germany, in order to argue that they should be united. It was, to use Eric Hobsbawm's phrase, an 'invention of tradition' - re-reading the history of the region to find common ground on which to argue that its people had always been Germans. At the same time, people in Sweden and Denmark were doing precisely the opposite, rejecting commonalities between their languages and cultures to assert their independence and difference.

By the early 20th century, these national commonalities and differences were becoming real, as the citizens of the newly united Germany began to think and act like 'traditional' Germans. This process played out aacross Europe, happening earlier in some countries (like the UK) and later in others, as each country sought to find a single historical narrative, a single language, a set of 'ancient' traditions (often newly popularized local traditions, and sometimes new inventions based on old stories and myths), and a single culture that captured their collective national identity. By the early 20th century, the 'German' people were a real group, who could recognize kinship with kther national groups (Germans in Austria), and insisted on ancient racial differences from others (eg, Czechs and Poles).

So, going back to your question, why was there not a German state in the Balkans, when Germanic people had, in the past, conquered these regions? Because nation states don't evolve directly from the ethnic identities of the people who lived in the in the past. Germanic barbarians settled in France in the early middle ages, but France chose to embrace a Roman, Mediterranean identity in the ninteenth century, deliberately downplaying the Germanic side of its history in order to distinguish it from its northern neighbors, and to separate it from parts of its own history that had become unpopular (the French royal family had claimed Germanic ancestry; after the Revolution, new French governments distanced themselves from that history). France could have chosen to emphasize its German history, but it didn't, because national identity is something that's built, not something that's inevitable or predetermined.

So national identities don't come directly from the pre-existing identity of the people who live there; they're created / invented as something new. Of course, it's easiest to make an invented identity stick (to convince people it's real) if it has some kind of historical relationship with the people in the nation. Thus, you rarely see nations trying to invent histories that are completely disconnected from some sort of historical events tied to the region. National identities are powerful because they feel rooted in deep history, even if they're relatively recent creations. The Balkans have much less 'Germanic' history than they do history with the Ottoman Empire, Roman Empire, 'Slavic' kings, and Alexander the Great's Macedonia. So when countries in the Balkans settled on their 'official' histories, they went with stories that had more local relevance.

But these stories and histories, like that of Germany itself, were things that were carefully constructed to help these nations develop internal unity. They weren't pre-existing 'facts', and they weren't the same as the identities of the people who lived in the Balkans in the early middle ages. They were new stories, built using building blocks that were carefully cherry picked from the region's real past to create new identities for its future.

If you want to read more about the (lack of) relationship between the Balkans' medieval history and present national / ethnic identities, see Pat Geary's Myth of Nations. For more on how 'ancient' national traditions are actually pretty new, see Hobsbawm and Ranger, The invention of tradition. For a brilliant case study of how a small country can cherry pick some events (and not others) from its past to create a new, official history for itself, see Peporte, The creation of medieval history in Luxembourg. For a dated, but still classic, overview of the way all national identites are invented rather than predetermined, Anderson, Imagined Communities.