PowerQuery on a Mac seems quite limited – that is if you don’t know the M language. But if you do, you can use the full blown Windows-class PowerQuery experience.
My channel seems too young for the links to work, so I’m just pasting my guidance here:
Here’s the link to the countries API: (can’t post a link, but just search for “restcountries.com”
PowerBI Docs: Just search for PowerQuery M reference