is the country drop down for "placing the order" (as in what country they are in), or is is something specific to a particular product (as in "you pick a painting of a landmark in "xxx" country?)

If it is for ordering (like actually placing" the order, then you don't use attributes for that, you use the built in Country drop down for Zen.

If it is specific to the actual product (as in my "landmark" example above), then it looks like you'll have to hand punch country in as an attribute. Or you could setup one attribute and then import a list of countries to complete it using EZ Populate.

Either way, you won't get around hand punching them (whether to create an import file), or to create each on individually from the Attributes Controller) -- that is, unless someone else has already done this and is willing to provide you with the listing.