Malta is not that hard to take, albeit costly. Do following things:
1. Bring a lot of planes, 2 meds and 3 tacs preferably plus 1 para. In spring-summer 1940 they already should be at disposal.
2. Start bombing with meds, to reduce morale and entrenchement. Then send tacs.
3. Finally, send BB's to attack Malta and reduce its supply. UK will not be able to reinforce fully.
4. Repeat, usually 2-3 times, and AA gun is gone. Jump in with para to empty city.
You may also place an artillery in Syracuse, to speed up the process significantly, but you have to buy one beforehand.
Forget sea invasion, you would need several amphibs with good tech.
On the other hand, going for it in 1941 seems a little late, especially if Eastern Front is in action.