Though there have been snippets of such information circling around the various forms of forums and networks, it is now confirmed. Paradox are starting a new project, and though unknown, they confirm it will be unexpected.
In the most recent developer diary for Hearts of Iron IV, there have been some changes in the development team. New project managers are taking the place of the old ones, and the old guard is moving on to the mysterious new project.
One of those is Dan, who addressed the fans in this dev diary.
As a developer of both Hearts of Iron III and IV, he has been working on the game for close to 7 years now, so it must be quite the project for him to leave his masterpiece behind and join the work regarding it.
"I’m going to be working with a Secret Project which I can't tell you very much about - except that I am super pumped about it, and that it isn't HOI5. While I’m sure the time will come for that, right now we feel that HOI4 still has room to be developed with content and cool stuff", said Dan in his part of the dev diary.
So we can see that the game is not Hearts of Iron IV, and it is unlikely to be Crusader Kings, as the Royal Court expansion is heavily underway. Stellaris itself is being held up by the Lem update, as well, and Victoria 3 is already in development.
From all this, we can infer that it is either a Europa Universalis-related project or perhaps Paradox wishes for another shot at making Imperator join the ranks of these games, as it was not as successful as the rest.
Though, maybe, Paradox will surprise us all with something brand new, to shake things up. A fan can hope, right?