I sort of have tired-brain-syndrome just now, but this is not something I recall for countries.
However, it's certainly normal for a region or city name to appear below ads targeted to that region or city, when they're being viewed by users identified as within that region or city. This is so that the users will know the ad is particularly relevant to them.
I'll dig into this a bit deeper, and post again tomorrow.
AWA
However, I have campaigns set for Scotland and it shows Scotland underneath as it should.
I imagine that the advert has been placed as all countries in the UK as opposed to the UK as a whole.
Having the place below the advert helps with my campaigns, it makes them stand out. Hence I like the targeting.