You can narrow this a bit by saying that
n.Country has to exist. Null entries are not indexed, so when you use your query, it must do a label scan since it can return
null for all of the nodes that don't have that property.
This should work, since when we require that the Country property must exist, the planner knows it can use the index:
That said this will only give you DISTINCT values if you have a unique constraint, otherwise you'll get duplicates for players that share the same country.
You might want to consider remodeling such that :Player nodes have a :LIVES_IN_COUNTRY relationship to a :Country node. In any case getting distinct values from :Country nodes is easy, since the values should already be distinct.