How to get country name

Well, this regular expression seems to do the job in most cases:

var regex = new System.Text.RegularExpressions.Regex(@"([\w+\s*\.*]+\))");
foreach (var item in CultureInfo.GetCultures(CultureTypes.SpecificCultures))
{
    var match = regex.Match(item.DisplayName);
    string countryName = match.Value.Length == 0 ? "NA" : match.Value.Substring(0, match.Value.Length - 1);
    Console.WriteLine(countryName);
}

You can use the Name property of the CultureInfo to construct a RegionInfo. You can then use the DisplayName property. Try:

foreach (CultureInfo ci in CultureInfo.GetCultures(CultureTypes.SpecificCultures))
{
    var ri = new RegionInfo(ci.Name);
    Console.WriteLine(ri.DisplayName);
}

// Build your normal dictionary as container
Dictionary<string, string> countryNames = new Dictionary<string, string>();
foreach (CultureInfo ci in CultureInfo.GetCultures(CultureTypes.SpecificCultures))
{
    RegionInfo ri = new RegionInfo(ci.Name);
    // Check if the ISO language code is already in your collection 
    // Because you don't want double entries in a country box because we had to use the culture info
    if (!countryNames.ContainsKey(ri.TwoLetterISORegionName))
    {
        countryNames.Add(ri.TwoLetterISORegionName.ToUpper(), ri.EnglishName);
    }
}
// Code for dictionary to dropdownlist transform can be written with your personal preference for symantics 
SelectList countryDropdown = new SelectList(countryNames.OrderBy(o => o.Value), "Key", "Value");

Or ready for use without comments:

Dictionary<string, string> countryNames = new Dictionary<string, string>();
foreach (CultureInfo ci in CultureInfo.GetCultures(CultureTypes.SpecificCultures))
{
    RegionInfo ri = new RegionInfo(ci.Name);
    if (!countryNames.ContainsKey(ri.TwoLetterISORegionName)) countryNames.Add(ri.TwoLetterISORegionName.ToUpper(), ri.EnglishName);
}
SelectList countryDropdown = new SelectList(countryNames.OrderBy(o => o.Value), "Key", "Value");