Slovenia most certainly DID exist in 1920 and 1930! After the end of WW I, 1918, a new Kingdom of Serbs, Croats and Slovenes was formed. What was called Krain (and part of Kustenland and a small piece of Western Hungary became Slovenia.
You are, however correct, in that the country would not be found in census records..... but the mother tongue, Slovene, would be found in those records.
This WW II US Draft Registration is found
Name: Frank Wucajnk
Birth Date: 13 Jul 1893
Birth Place: Loce, Yugoslavia
Residence: Kings, New York