It's tricky to add country names like that. I have done it by first creating a new language override for FE&BE. eg you could use COM_VIRTUEMART_COUNTRY_ITB as constant for Italia Non Isole, where ITB is a new country 3 letter reference. Then in the Countries editor create a new country, Italia Non Isole, and set the three letter code to ITB. ON saving you shopuld now see that country in full on the list. Just use different 3 letter codes for the others.