You should be able to change your country by going to Settings > Contact info and clicking the pencil icon next to the location section. Please note that your profile location should reflect your physical location.
I recently signed up for Upwork and while submiiting my applicaion, by default my country is selected as Anguilla and it is disable for me to update. I want to update it ot United States but I cannot do it so I just have to submit the appplication with Anguilla as my country. Can you please help me out? I don't know where and whom should i contact.