Look at names of real countries in the region where you are setting your fictional country, and try to match the pattern.
For example, there are several real countries in south Asia with names ending in "-stan", such as Pakistan, Afghanistan, and Kazakhstan. So a name ending in "-stan" would sound plausible. Several countries in Europe have names ending "-ia", like Romania and Slovakia. Etc.
If you know the language, or with a little help from an on-line translator, you can come up with a name that means something. Unless this is a humor book or an allegory, I wouldn't use a name that means "evil tyrant" or something like that, a name no one is likely to actually give to their own country. More something like "Transylvania", meaning "land beyond the forest"; "Australia", from "Terra Australis" meaning "southern land"; or a Chinese friend once told me that "Taiwan" means "beautiful bay".
Try to match the "sound" of real country names. It occurs to me that a gotcha would be to have a letter in the name of your country that represents a sound not found in the languages of that region, like having an "L" sound in a country where people speak Chinese.