View the complete list of a taxonomy in the navigation menu

You can achieve the result using following code:

$terms = get_terms( array(
    'taxonomy' => 'country',
    'hide_empty' => false,
    'orderby' => 'name',
    'order' => 'ASC',
) );

if ( !empty($terms) ) :
    $output="<ul>";
    foreach( $terms as $country ) {
        $output.= '<li><a href="'.get_term_link( $country->term_id ).'">'. esc_attr( $country->name ) .'</a></li>';
    }
    $output.='</ul>';
    echo $output;
endif;

Here I’m using get_terms() to get all item of country taxonomy. The checking if there is any item in the list. If yes then I’m looping through them and returning as desired link. get_term_link() is being used to get the term url by using term id.