To create a country list JComboBox in Java Swing, you can use a DefaultComboBoxModel and add the country names to it. Here's an example:

import javax.swing.DefaultComboBoxModel;
import javax.swing.JComboBox;
import javax.swing.JFrame;
import javax.swing.JPanel;
import javax.swing.SwingUtilities;

public class CountryComboBoxExample {
    public static void main(String[] args) {
        SwingUtilities.invokeLater(() -> {
            // Create a panel with a combo box
            JPanel panel = new JPanel();
            JComboBox<String> countryComboBox = new JComboBox<>();

            // Add the country names to the combo box model
            DefaultComboBoxModel<String> countryModel = new DefaultComboBoxModel<>();
            countryModel.addElement("Afghanistan");
            countryModel.addElement("Albania");
            countryModel.addElement("Algeria");
            // Add more countries as required
            countryComboBox.setModel(countryModel);

            // Add the combo box to the panel
            panel.add(countryComboBox);

            // Create a frame and add the panel to it
            JFrame frame = new JFrame("Country ComboBox Example");
            frame.add(panel);
            frame.pack();
            frame.setVisible(true);
        });
    }
}

In this example, we create a JPanel with a JComboBox to contain the country list. We then create a DefaultComboBoxModel to store the country names, and add them to the model using the addElement method. Finally, we set the JComboBox model to the DefaultComboBoxModel, and add it to the panel.

When you run this example, you will see a window with a JComboBox containing a list of country names. You can select a country from the list by clicking on the drop-down arrow of the combo box.