Currently, as far as I know, we have only one question which has country name tags. I, personally, think that country name tags are efficient and add value to the community: it can attract relatively new users/motivate old ones to answer the questions about the sports in the countries they are familiar with.
It can also help to correctly tag some questions, e.g: we have Spanish la-liga tag, but we currently have 4 questions about Spanish Copa del Rey (1, 2, 3, 4) without copa-del-rey tag, which can be organized under spain tag.
I can think of many scenarios where country name tags may be useful. I also understand that if we give it a go, we should define a universal tag wiki template for country name tags and then use it to write specific tag wikis for each new country name tag.
Please add your thoughts on how country name tags can help you in the sports you are interested in (as I'm mainly dealing with football) or tell us why do you think it is not useful.