How do I pull categories from another category group for members of another category?
I forgot about the related entries.  So, I actually want to pull the related countries from the **entries** related to the market.

Here is the solution.  The key was the answer to this related question about related tags.

{% set entries = craft.entries.relatedTo(category).find() %}
{% set nation = craft.categories.group('country').relatedTo(entries).find()%}