How can I see a list of my Custom Post Types of the last term I was in?

When you use wp_list_categories() you get a list of terms, each one linked to its archive page. I think what you need is a form to filter the products, not a list of archive term links, so you can keep the selected filters between requests, for example, using $_POST, $_SESSION or $_COOKIES.

Example using $_POST:

<?php
//taxonomies you want to filter
$taxonomies = array( "countries", "types" );
function get_terms_dropdown($taxonomy, $args){
    $terms = get_terms($taxonomy, $args);
    $output="<select id="".$taxonomy.'" name="'.$args['name'].'" multiple>';
    foreach($terms as $term){
        in_array($term->term_id, $args['selected']) ? $sel=" selected" : $sel="";
        $output .='<option value="'.$term->term_id.'"'.$sel.'>'.$term->name.'</option>';
    }
    $output .="</select>";
    return $output;
}
?>
<?php
//Set the action of the from to custom post type archive
?>
<form method="post" action="<?php echo get_post_type_archive_link('products');?>" id="products-filter-form">
<?php
foreach($taxonomies as $taxonomy) {
    //check if there is a previously selected terms
    $selected = (!empty($_POST['tax_input'][$taxonomy])) ? ($_POST['tax_input'][$taxonomy]) : array();
    $selected = array_map('intval', $selected);

    $args = array(
         'hide_empty' => false,
         'selected'   => $selected,
         'name'       => 'tax_input['.$taxonomy.'][]',
    );
    echo get_terms_dropdown($taxonomy,$args);
}
?>
<button type="submit">Filter</button>
<button type="reset" value="reset">Reset</button>
</form>

And now the in the preg_get_posts action you add the selected taxonomy terms to the query:

add_action( 'pre_get_posts', 'cyb_pre_get_post' );
function cyb_pre_get_post($query){

    if($query->is_main_query() && !is_admin() && is_post_type_archive( 'products' ) ) {
        //taxonomies you want to filter
        $taxonomies = array( "countries", "types" );
        $tax_input = isset($_POST['tax_input']) ? $_POST['tax_input'] : '';
        if(!empty($tax_input)){
            //Ready to construct the tax_query
            foreach($taxonomies as $taxonomy) {
                if(isset($tax_input[$taxonomy])) {
                    $value = array_map('intval', $tax_input[$taxonomy]);
                    if(!empty($value) && $value[0] != "0"){
                        $tax_query[] = array(
                            'taxonomy' => $taxonomy,
                            'field' => 'id',
                            'terms' => $value
                        );
                    }
                }
            }
            $query->set('tax_query',$tax_query);
            //The tax_query has been set
        }
    }
}

Note: code tested with category and post_tag taxonomies and it is working. It may need some modifications to fully fit your needs.