How to get the country from shipping address in a view?
Implying that you have the Order ID in your view:


Add a relationship to Commerce Order: Referenced customer profile, for the shipping address (Relate this entity to the customer profile referenced by its commerce_customer_shipping value)
Add field for Commerce Customer profile: Address - Country


My output after those steps:

Order ID: 4
Bulgaria

Order ID: 5
United States 


FYI the data is located in field_data_commerce_customer_address table commerce_customer_address_country column.