Use the Data Import Wizard, In last stage getting the error Records Failed

Verify step error :- The 'Lead' records from the CSV were not found. Please check the instructions. 

Import report file error :- 

 FIELD_INTEGRITY_EXCEPTION:There's a problem with this country, even though it may appear correct. Please select a country/territory from the list of valid countries.: Country:Country -- 

However, I confirmed accurate data and tried couple of times. Also checked the value in Salesforce State/Country Picklist validation. 

Also checked this instruction Note: If experiencing verification issues, make sure the Salesforce user which is used to import the data has English language and English (United States) location selected.