Ships to sets the countries a location sends online orders to. Leave it empty and the location ships to every country, which is the default. When you list countries, a delivery order to any other country is never sent from that location, and its stock there isn't held for that order.
Open Catalog > Locations in Store Admin or the mobile app, and open the location.
Under Ships online orders, choose the countries in Ships to. Leave it empty to ship everywhere.
Save the location.
How it changes routing
Your routing setting, location priority or fewer splits, chooses among the locations that ship to the order's country. Locations that don't ship there are skipped, even if they rank first. Orders already placed keep the locations they were sent to.
What customers see
Product pages and the cart show stock from every location that ships online orders, because the delivery address isn't known yet. At checkout, once the customer enters an address, items whose stock is only at locations that don't ship to that country are marked Doesn't deliver to this address, and the customer can remove them or use a different address.
Locations run by an app
A location created by an app, such as a supplier's warehouse, gets its Ships to countries from that app, and you change them in the app's own settings.