If the list of valid countries has several values, as you show, I would put them in a table. Then you can do something like this:
SELECT CASE WHEN EXISTS(SELECT *
FROM tblValidCountries WHERE Country = var_valid_country) THEN 'Y'
This way, if the list of valid countries ever changes, you can update a table, versus a code change. And depending on how you use the procedure upstream, you might be able to use that EXISTS function in line and avoid having a separate procedure.
If you do use a separate procedure or function, consider returning a boolean value, since that’s what you are logically coming up with anyway.