Hi,
No, you can't have a different list of countries for the different types of addresses.
However, what you can do is to create a new zone of the type "shipping zone" via the menu System>Zones where you list all the countries you want to ship to as "sub zones".
Then, edit each of your shipping methods in the System>Shipping methods menu and in the "zone" restriction setting, select that shipping zone.
That way, when the customer enters an address for a country where you don't ship to, he will get an error message and won't be able to proceed.