Let $G$ be a finite group. Consider—I think I've got my terminology right—the full subcategory $\mathcal C$ of the coslice category $G \downarrow \operatorname{Lie}$ of Lie groups under $G$ whose objects are (morphisms into) connected Lie groups. In other words, consider the category whose objects are morphisms $G \to H$ with $H$ a connected Lie group, and whose morphisms are triangles under $G$ in the obvious sense. (I changed 'over' to 'under', per @QiaochuYuan's comment.) There is nothing inherently category theoretic about my questions, but the language seems to be well suited to it.
(1) Does $\mathcal C$ have an initial object?
(2) Even if the answer to (1) is ‘no’, there is a well defined dimension $$d(G) = \min \{\dim(H) \mathrel: \text{$H$ a connected Lie group and $G$ embeds in $H$}\}.$$ (Note that the set is non-empty; $G$ embeds in an appropriate general linear group via its regular representation.) What purely group theoretic information about $G$ is recorded by $d(G)$?
(3) What changes in (1) or (2) if we replace topologically connected Lie groups by Zariski connected linear algebraic groups over a fixed (not necessarily characteristic 0, not necessarily algebraically closed) field $k$ (and so differentiable maps by algebraic maps)?
Q1: The answer is no already for $H = C_2$.
$C_2$ embeds into exactly one $1$-dimensional connected Lie group, namely $S^1$, and does so uniquely, because there is a unique element of order $2$ in $S^1$. This embedding is weakly initial: if $C_2 \to G$ is any other map from $C_2$ to a connected Lie group $G$ then it extends, not-necessarily-uniquely, to a map $S^1 \to G$. This follows from the fact that $G$ has a maximal compact subgroup $K$, which is connected, together with the fact that the exponential map $\exp : \mathfrak{k} \to K$ is surjective.
Now we need a general fact about weakly initial objects.
Proof. If $i$ is a weakly initial object, then by definition it admits a morphism $f : i \to 0$. Since $0$ is initial this is necessary and sufficient for it to admit a morphism to every other object. Moreover there is a unique map $0 \to i$, and the composition $0 \to i \xrightarrow{f} 0$ is necessarily $\text{id}_0$. So $f$ has a section, hence is a split epimorphism. $\Box$
It follows that if the category of maps from $H = C_2$ to connected Lie groups has an initial object then it must admit a split epimorphism from the embedding $C_2 \to S^1$ above. This map must remain a split epimorphism on underlying Lie groups after forgetting the embedding. But the only nontrivial split epimorphism out of $S^1$ is the identity (there is also the zero map to the trivial Lie group but $C_2$ can't embed into that). So if there is an initial object it must be the embedding $C_2 \to S^1$.
But the embedding $C_2 \to S^1$ is not initial, because it has nontrivial endomorphisms. Namely, the map
$$S^1 \ni z \mapsto z^n \in S^1$$
sends $-1$ to $-1$ whenever $n$ is odd.
Q2: This seems to me like both a pretty delicate and a pretty open-ended question so I don't know what could qualify as a complete answer to it, but here are some initial observations.
In general the exact value of $d(H)$ is sensitive to the classification of compact connected Lie groups so, for example, there may be large finite groups with unusually small values of $d(H)$ because they have tricky embeddings into some exceptional Lie group. It seems hard to be too precise here. One of the only general results I know is that for a bounded value of $d(H)$, $H$ must have a normal abelian subgroup of bounded index (by the Jordan-Schur theorem), but I think the bound is quite bad.
Q3: This also seems pretty delicate and pretty open-ended. For embeddings of a finite group $H$ into the group of $k$-points $G(k)$ of a reductive group $G$ it's possible to write down explicit and tight bounds on the sizes of the Sylow subgroups of $H$ in terms of $G$ and $k$; see for example Serre's Bounds for the orders of the finite subgroups of $G(k)$. To give the flavor of these results here is the bound for $GL_n(\mathbb{Q})$, which is due to Minkowski: the Sylow $\ell$-subgroup of a finite group $H \hookrightarrow GL_n(\mathbb{Q})$ can have order at most $\ell^{M(n, \ell)}$ where
$$M(n, \ell) = \left\lfloor \frac{n}{\ell-1} \right\rfloor + \left\lfloor \frac{n}{\ell(\ell-1)} \right\rfloor + \left\lfloor \frac{n}{\ell^2(\ell-1)} \right\rfloor + \dots \le \frac{n \ell}{(\ell - 1)^2}.$$
This bound is tight, meaning $GL_n(\mathbb{Q})$ has a finite $\ell$-subgroup of this order, which acts as a Sylow $\ell$-subgroup in the sense that every finite $\ell$-subgroup embeds into it up to conjugacy. (Note the analogy to $S_n$ where the corresponding exponent is given by Legendre's formula, which is the above formula with $\ell-1$ replaced by $\ell$. Since $S_n \hookrightarrow GL_n(\mathbb{Q})$ this is a lower bound on the above as expected.) It follows that the order of a finite subgroup $H$ of $GL_n(\mathbb{Q})$ divides $M(n) = \prod_{\ell} \ell^{M(n, \ell)}$ (this bound is not tight).
But minimizing over all embeddings into algebraic groups makes the answer sensitive to the classification of algebraic groups as above so I don't know how to easily say anything about it. If $k$ has characteristic $0$ then finite groups can't embed nontrivially into unipotent groups over $k$ so I believe that Levi decomposition implies that we can restrict our attention to connected reductive groups, but I'm not too familiar with the classification of reductive groups. And if $k$ has characteristic $p$ then $p$-groups embed into unipotent groups over $k$ so those will have exceptional behavior.
Generally, considering the special case of embeddings of finite abelian groups into algebraic tori shows that the answer is sensitive to which roots of unity exist over $k$ or over low-degree extensions of $k$, and the bounds given by Serre in the paper above validate this idea.