Is there a reason for you to suspect that your users don't know their own country code?
Are you certain that your country code list is all-inclusive and self-healing? By self-healing I am referring to the future day which you are no longer in charge of that form; will codes be added/removed in some automatic fashion?
I suggest allowing the user to type their darn number and in case they don't know it make sure to provide a "What's this?" style link to https://countrycode.org/
If you sincerely don't trust your users then you can choose to make an overly-apologetic validation rule that reads something like:
That country code is not recognized by our system. This could be because you've entered it incorrectly, our regex skills have failed us yet again, or the guy in charge of this list (looking at you, MonkeyZeus!) has failed to include your country.
See our system's full list of recognized country codes and if your code is not in our list then please proceed anyways. Hopefully an email notification is automatically sent to someone that can add your country code in the next 8-13 business days.
Have a pleasant day