Depending on whether you have the Salesforce State and Country/Territory Picklists feature enabled or not, will determine how you customise the Country labels.
With picklists enabled
If you have the Salesforce State and Country/Territory Picklists feature enabled, you can customise the country labels by following the steps on our Picklist configuration page.
If you are using the Translation Workbench you can also change the Country names here.
Go to the Setup screen and type Translation Workbench in the Quick Find box and select it.
Go to the Translate tab and select the language from the language dropdown.
In the Setup Component, select Address Country.
Click in the Address Country Translation and type in your customized Country name.
Disabling picklists
If you were to disable the State and Country/Territory Picklists feature, your customizations would no longer appear, and you would have to recreate them in Custom Labels (otherwise the default labels will be used).
Your customizations will be saved and be reinstated if you were to enable picklists again.
With picklists disabled
If you have the Salesforce State and Country/Territory Picklists feature disabled, you can customise the Country labels by following the steps on our Customizing labels and messages page.