The configuration screen of the ‘Country’ item offers you an extra option – you can remove countries from the list from which the authors can make their selection.
Please go to the Module content -> Countries
To hide a country, check the box(es) and press the 'Eye' icon.
Use the 'Show hidden' radio button to see which countries are hidden.
To unhide the countries, select the hidden countries and press the 'Eye' icon again.
To change the sort order, you can click on the 3 grey lines and drag the country to the correct place.