Unlike some of the other database categories, ie derbies/clubs/etc, there isn't an add button for nations. So I don't think you can.
Maybe you could pick small nations (you wouldn't miss) from the regions you want them to be in and edit them?
I've been creating a new Scottish league structure. Everything is going fine but i've been changing the club finances about to give the clubs more money, bigger attendances etc. Its still a work in progress but i've loaded the game up with the editor file and everything is as I made it with all...