&quot;Big Five&quot; Personality Quiz. The countries lying on the Balkan Peninsula are often called the Balkan States. These include Albania, Bosnia and Herzegovina, Bulgaria, Croatia, Greece, Macedonia, Romania, Slovenia, and Yugoslavia (Serbia and Montenegro).The small portion of Turkey that lies northwest of the Sea of Marmara is also on the Balkan Peninsula.hese include Albania, Bosnia and Herzegovina, Bulgaria, Croatia, Greece, Macedonia, Romania, Slovenia, and Yugoslavia (Serbia and Montenegro). The small portion of Turkey that lies northwest of the Sea of Marmara is also on the Balkan Peninsula.