As far as I know there is no inbuilt way to do this. The easy way out is to fetch all the country names in an array, sort this array and then loop through this array. Unfortunately there is no array sort function built into EZ so either take the contribution
http://ez.no/community/contribs/template_plugins/arraysortoperator or just write your own wrapper for the php sort function.
This bit of code presents the list of attributes in the same order; i.e. the arraysortoperator extension is doing nothing. I noticed that the extension's description page states that it works with version 3.6 and 3.7, but I am using 3.8.
The sort operator of this extension works fine for me (EZ 3.8.3). Are you sure that the extension is loaded alright? If not you should see an message in the debug output that the operator sort is not defined. Another possible thhough unlikely problem might be interference from another extension which might already implement an sort operator wich behaves differently.
Good thinking. I turned on the debug output and found this line:
Warning: eZTemplate Sep 20 2006 17:19:51
Operator 'sort' is not registered
This is confusing though because the extension is registered in the admin screen. I tried both registering it manually by updating the necessary .ini files as well as using the Setup -> Extension form.
Maybe the directry structure if the extension is not correct - this happens quite often to me if I unzip into a directory with the name of the extension and the zipfile provides already such a directory. So check your extensions folder and open the folder for the array sort extension. There you should see the folders autoloads and maybe settings (I already deleted the extension again so I am not sure).