Rxjava2 just method - how to run room insertion on another thread?

Even better, you could use a Completable. Its description: Represents a computation without any value but only indication for completion or exception.

Completable.fromAction(() -> db.countriesDao().addCountries(list)).subscribe();

This is a common mistake: just() won't execute the "code" within its parenthesis as just takes a value, not a computation. You need fromCallable:

Observable.fromCallable(() -> db.countriesDao().addCountries(countriesList))