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The fastest way to delete all countries is to delete records from the database.
Look at following tables:
ac_countries
ac_country_descriptions
ac_zones
Something like:
DELETE ac_countries, ac_country_descriptions, ac_zones
FROM ac_countries c
INNER JOIN ac_country_descriptions cd ON c.country_id = cd.country_id
INNER JOIN ac_zones z ON c.country_id = z.country_id
WHERE c.country_id in (1, 2, ...)
Check your prefix for the tables and included needed country_id in the WHERE clause list
After you do this, do not forget to clear all cache.