Slitherine

Is there a way to add [custom] countries that are not in the game?

The short answer is yes. The long one is you need to create a mod.
Install the official Battle of Britain mod from the 'crate' on the main main screen.
Then take a look at it in the My Games etc Mods folder.

Countries are labeled 'factions', there's a faction file in the Data folder.
The rest of the mod content should give you an idea of the rest of stuff you need to be able to use the faction.

Ah, ok!