Bandcamp doesn’t let you block specific countries from ordering merch. Your items are available worldwide by default. However, you can clearly list in your item description which countries you ship to and don’t ship to, so buyers know before they order.
If someone from a country you can’t ship to places an order anyway, you can cancel it and issue a refund from your Merch Orders page. To avoid confusion, it's a good idea to explain your shipping limits clearly in the item description and the shipping policies section (found in your Profile settings).
In short, you can’t block countries, but you can refund orders you can’t ship due to the shipping location.