You can block countries in your Threat Control panel.
1. Scroll down to Add custom rule.
2. Start typing in the country name and then select the country.
3. Click on the "Block" button.
CloudFlare's country block currently only serves up a challenge page to visitors from the countries you decide to block. A human visitor could still enter your site from that country by passing the challenge page, so a country block is not a full block. If you fully want to block visitors from that country, then you would have to put rules on your server to block the country fully.
A future version of CloudFlare's Threat Control will likely allow for a full block.
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