The country information is gathered based on the IP address that the user connects to the appliance(s) with and where the IP address is registered.
Parallels Secure Workspace uses MaxMind GeoLite2 to determine a geolocation for a user's IP address.
The accuracy of this database can also be viewed on their website.
Mind that this is not automatically updated, but comes with an appliance upgrade.
Important: geolocation is only used for public IP addresses. No country will be shown when the user is connecting to Parallels Secure Workspace using an internal IP address from within the internal network.