Posting a sample workbook helps us understand better. If you have sensitive data, try to replicate the same issue with the sample dataset provided with tableau software.
In the Tableau sample dataset, "World_Bank_CO2.xls", under the sheet "CO2 (kt) for Split", when we select "North America" as the region only "Bermuda, Canada, United States" are displayed in Country Name. Similarly when we select, "East Asia& Pacific" as the region we get another set of countries for Country Name column. This is the behavior I am trying to replicate in Tableau using filters.
I hope this clarifies!