Malta, yes. I think this was probably the most realistic option. I think the Axis actually could have taken it.
However, to do it, well, there are consequences.
The early victories against Yugoslavia, Greece and in Crete, and, indeed, in North Africa, were done with the assistance of two entire Luftflottes ... one of which was earmarked for Barbarossa.
We've discussed this on shw-i and the problem is that, to ...
a) make invading Malta doable
b) make taking Malta worthwhile
... you have to keep it in theater.
I forget the percentage, exactly, but, IIRC, that was about 1/4 of the planes eventually committed to Barbarossa.
Now, with Uber-Panzers, this may not be a problem but in the real world it would have been.
Gibraltar, well, I've discussed the real world constraints elsewhere.
Alexandria ... well, maybe, if you keep the second Luftflotte in the Med AND strip one of the three German Armies that invade Russia of all the truck units that kept the Panzers supplied as they forged ahead of the railheads (most people don't know that the DAK has as many trucks committed to its Lines of Communications as an entire Army in the invasion of Russia ... and that it wasn't enough to get them Alexandria) ...
Can Barbarossa go ahead successfully with 1/4 of its air strength and 1/3 of its panzer mobility stripped away ... sure, but only with the 50 strength Uber Panzers ... maybe.
And what do you actually get if you take Alex?
No Oil. Nothing much but Arabs and sand.
By the time you get to where the oil is, as I've also pointed out, it's all in ruins and, indeed, rebuilding the wells and refineries and then shipping the oil back to anywhere its worth spit won't be happening in less than 5-10 years, if ever.
One thing that may have happened is that, with more forces arriving on the Eastern Front sooner than historically, there is no pro-Allied Yugoslav coup? Not that that does much, as it didn't actually delay Barbarossa (that was entirely due to the weather) ... not for the Germans. It may make the Italians less likely to take on the Greeks. Which, paradoxically, probably means the Italians lose all of North Africa before the Germans can get the DAK over there.
There's not really a lot they can do that's going to have a better return on investment than Sealion, actually.
Author, Space Opera (FGU); RBB #1 (FASA); Road to Armageddon; Farm, Forge and Steam; Orbis Mundi; Displaced (PGD)