Title is the question, i'm starting to get interested into Holy roman empire politics and it made me wonder if these different cultural states though of their own unified state instead of being part of a new (holy) Roman empire.
I suppose if you dig deep enough you could certainly find someone, somewhere, who hypothesized about a unified centralized state in one of those regions. Maybe even someone in or near positions of power; you certainly can find extensive written evidence in Italy. But the reality of the political and situation situation made it little more than a fanciful thought exercise.
The general thing to keep in mind is that in the two centuries you indicated, the Holy Roman Empire was especially weak. Austria had yet to consolidate itself as the unipolar power in the German-Speaking world, while in Italy the Republics based around urban communities were ossifying into powerful dynastic states (the Low Countries, on the other hand, I never studied much and can't really speak to apart from some specifics about trade relations with Italy). So in the specific case of Italy, in the 14th and 15th century I believe there are two notable instances where some Italians might have believed that they could witness the foundation of a Kingdom of Italy, or at least a Kingdom of Lombardy, within their lifetime.
In the first half of the 14th century, poets patronized by Cangrande Della Scala's court in Verona wrote that if Cangrande had wanted to he could unify Italy in a year. And indeed, the formidable Scaliger dynasty's state in Verona had come to govern the cities of Belluno, Treviso, Vicenza, and Brescia, while Padua was subjected to a form of vassalage and tight rapports of fealty were struck with Parma, Lucca, and Cividale. However, after Cangrande's death his nephew and successor Mastino, no less an able ruler, found that Florence, Bologna, and Venice had coalesced to end his dynasty's hegemony in northeast Italy. Although initially the Scaliger Veronese state might have survived the conflict with their lands mostly intact (Bologna wasn't in any state to fight a war, Venice was only interested in culling further expansion, and Florence wouldn't realistically be able to project itself past the Apennines) Mastino was presented with a game-changing impasse when Lordoriso Visconti, escaped from his prison after having attempted to usurp the lordship of Milan from his uncle Azzone, sought refuge at his court. Although Lordoriso might have been a useful pawn in a bid to destabilize Lombardy had the Milanese and Veronese been on equal footing, with the Scaligers hounded by nearly all of northern Italy, Azzone was quick use his nephew's flight as a pretext to distract the divided Milanese nobility and enter the conflict (as well as machinate the blessing of the Pope, with the overall effect of rescuing his beleaguered rule).
The second example occured a generation later, when Gian Galeazzo Visconti, Azzone's descendent, following the Scaliger's defeat was the undisputed hegemon in northern Italy. You could argue that a Viscontean ruler was never proclaimed King of Lombardy because after Gian Galeazzo died of the plague and his less able successors saw the Milanese state cut down to size by rivals. However, it's important to point out that the Italian dynasties like the Visconti were engaged in complex balancing acts that didn't always allow them to make streamlined decisions which would be necessary in an Italy-wide campaign of conquest; each Italian state possessed a uniquely complex governing council that balanced the representatives of urban workers, landed magnates, the clergy, and middle-class professionals. Even in a particularly centralized state like Milan, the Visconti dynasty's expansion was a two-way interaction between local governments and themselves, and overlordship could be easily toppled should local councils develop a powerful anti-Milanese faction. Viscontean rule over cities like Siena and Pisa, for example, was more a consequence of those cities asking for Milanese protection against their powerful neighbor (Florence) rather than a conquest born out of some grand design to unify Italy. Indeed, these forces only pushed Italian states together as long as the threat of conflict made this sort of arrangement appealing. Proving the ephemeral and conditional nature of the two-way relationships in the Viscontean realm, Gian Galeazzo's grand state evaporated on his death as his wife Caterina was left to govern the Duchy: the eastern provinces immediately revolted and after a brief resurgence of the Scaligers, defected to the Republic of Venice. As Gian Galeazzo's former soldiery revolted against Caterina, there was no more talk of projecting Visconten rule south of the River Po, let alone the Apennines, as Pisa and Siena sought to fend for themselves.
And if accumulating power in Italy was difficult, what if foreign powers were to get involved? Any claim to the title of King of Italy/Lombardy by someone like Gian Galeazzo Visconti could easily provoke a war with the Kaiser in Germany, seeing as from the tenth century the crowns of Italy and Germany had been technically united in the Holy Roman Empire. Although Imperial authority was very much dependent on how willing and able the Kaiser was to descend into Italy to keep an eye on things (in the 14-15th centuries, not very) Italian autonomy had more than once led to long conflicts. Indeed, it had been much safer for Gian Galeazzo to just claim the title Duke of Milan and keep it at that, as it would be for any other ruler in Italy. In fact, one hundred years later Cosimo de' Medici felt it better to raise himself to the title of Grand Duke of Tuscany, one step below calling himself a King, even though he very well could have invented a royal title for himself.
I've written extensive posts on the impossibility of uniting Italy prior to the Napoleonic Era, you might be interested in this post as well as this older post. In all, the major take-away is that the institutional quirks in Italy made it particularly well-suited to decentralized power structures; and it was these very power structures which allowed for artistic, economic, and social development. That development, in turn, permitted sustained disunity. In short, a cyclical self-reinforcing cycle.