There are many places in Drupal where you have a country list in a pulldown menu that has no easy way to be filtered. The exposed proximity filter in Views is just one example. This article shows an easy an pragmatic way to limit the list of countries on a whole drupal installation to just a small list. It also shows you how to add a country back if necessary.
1. Locating the right file
The main list that controls which countries Drupal 7 'knows' can be found in /includes/iso.inc
2. Deleting countries
You might think this is too easy, but it's really not more than this:
3. Cleaning up
Clean up the cached listing of the removed countries with the following steps
4. Add previously removed countries again