The Translate Locales feature allows you to translate Country names to the string of your choice.
By default country names are saved in Jomres using their English names. You may choose to change those translations by first changing your language in the dropdown at the top of the page, then visiting the Translate Locales page. Once there, you can click on a locale's name and rename it in the popup.
Additionally, if you've set the option "Region names are translatable" In the Site Configuration -> Misc tab then you can rename regions in this same page in the same way.