The following snippet is taken from WooCommerce documentation and does exactly what you think. Add this snippet to your functions.php file to add a new country to the WooCommerce countries list:
function woo_add_my_country( $country ) {
$country["AE-DU"] = 'Dubai';
return $country;
}
add_filter( 'woocommerce_countries', 'woo_add_my_country', 10, 1 );