difference between create constraint non clustered and create index non clustered
With this:

CREATE TABLE [Ref].[Country](
    [CountryId] [uniqueidentifier]  NOT NULL,
    [CountryName] [varchar](50) NOT NULL,
    [CreatedDate] [datetime2](2) NOT NULL,
    [ModifiedDate] [datetime2](2) NULL,
    CONSTRAINT [UCI_CountryName] UNIQUE CLUSTERED ([CountryName] ASC),
    CONSTRAINT [PK_Country] PRIMARY KEY ([CountryId])
)



  i want to create NCI on Primary key column with INCLUDE. 


You already have it.  A non-clustered index always contains the "row locator", which for a table with a clustered index is the clustered index key.  The leaf level of the non-clustered PK with have (CountryId,CountryName) rows, but sorted by CountryId, whereas in the clustered index the rows are sorted by CountryName.

For a unique index the clustered index columns are stored as "included columns" only on the leaf level.  For a non-unique index the clustered index columns are added as trailing index keys.

But you cannot include additional columns in a Primary Key constraint.  You can implement the identical physical design by adding a unique, non-clustered index with included columns.

Also there's nothing wrong with using a UNIQUEIDENTIFIER for the clustered index key, so long as your table isn't large, or you generate the value with NEWSEQUENTIALID().