How to translate country names
You should never use t() to translate variables, unless the text that the variable holds has been passed through t() elsewhere:

https://api.drupal.org/api/drupal/includes%21bootstrap.inc/function/t/73#sec_translating_vars

In this case country_get_list() calls _country_get_predefined_list(), and inside this function country names are passed through t():

https://api.drupal.org/api/drupal/includes%21iso.inc/function/_country_get_predefined_list/7

So, if you have country strings translated in your database (as Molot says) translation should work.