When you are using a Self-Fulfillment Price Sheet, only Countries that have a corresponding Shipping Method set up for your Store will be available on the checkout page.
For example, if you only have a Shipping Method for the United States, your client will only be able to choose United States in the country drop down. To allow clients from other countries to purchase from your Collections, you will need to add a Shipping Method for those countries.
To review your Shipping Methods, edit or add new Shipping Methods, go to the Store Dashboard and click on Shipping. You will see a quick view of the Methods that you have created, and which locations those Methods are available to service. You can edit any of your created shipping methods by clicking on the pencil icon to the right of the shipping method.