Why can't I find a country in the Country list when adding a tax rate?

The Country list only shows where your store sells: your enabled Selling Location countries plus your Store Located Country. That stops you adding tax for countries you don't ship to.

To add a country:

1. Go to Settings → Store Settings → Selling Location and click + Add Country.
2. Pick the Country, set Status to Enabled and click Add Country.
3. Return to Manage Tax. The country now appears in the list.

The Manage Tax page links there with Add it in Selling Location. A country set to Paused doesn't show in the tax list.