The United States Postal Service publishes a list of countries not accepting inbound international deliveries.
Is there a way, within Shopify, to disable new orders from those countries to prevent packages being returned by the Post Office?
Should also still work to make a zone for country, but dont add any rates to that zone
Make sure customers are informed before they go through all the steps just to find out they cannot place an order and create negative reviews.
Keep in mind admin settings for shipping alone wont stop potential customers from starting the checkout process but be unable to complete it which can be an undesirable experience.
You will either need to customize your theme along with a GEOIP service, or something like the common shipping calculator customization, or use an app such as locksmith if you want to prevent that type of customer experience on the rest of the site.