I'm not sure what you are trying to achieve, but did you read the documentation on drop-downs?
https://docs.mendix.com/refguide/drop_down - Drop-downs can only show enumeration values.
There is a country enumeration in the app store if you want to use that, just look for 'country'.
Let me know if you have any further questions.
If your Country entity has an association to an other entity you're probably looking for a Reference Selector instead of a standard Drop Down.
I strongly encourage you to look at our free online training that explains how to build these types of elements. The lecture I think would help you most is this one:
It is free and takes just a few minutes and will explain what a reference set selector is, what it looks like, and how to set it up. If you want to store the country name in a list that is configurable at run time, use a reference set selector. If you want a static list of country names you set in the modeler, use an enumeration.