Hi,
The countries displayed in the country dropdown of the addresses are in both english AND the language of the country.
So for example, for japan it would display as "Japan 日本". That way, a japanese would be able to find his own country and any one else not speaking japanese (and should normally speak English if living in that country) would also be able to find it.
But if you really want to change the names of the countries, you can edit them via the menu System>Zones in the backend of HikaShop.