Roam on certain countries, not in others
An app named Roaming Control (maybe even its free trial) might help you out here. From the app's description:


  Roaming Control automatically enables or disables mobile data connection, airplane mode or auto sync based on the currently active network operator.
  [...]
  Besides manually defined network operators, Roaming Control also supports special rules for your home network, for national roaming and for unknown networks. For certain networks, free roaming partner networks are also supported.


To me that sounds like an exact match to your requirements. To give you a better idea, here are some screenshots:

  
Roaming Control Screenshots (source: Google Play; click images for larger variants)