Please post a sample workbook along with your expected results.
Do you use the same data source for the 2 worksheets?
If the answer is "Yes":
Create the filter with the country field of the data source, and apply to "All Using This Data Source" (or Selected Worksheets, and select both worksheets)/
If the answer is "No".
There are similar fields,( i.e. country and city), in different data sources.
The "Data Blending" skill might be helpful.
Create the data relationship between the data source,
then create the filter, and apply to "All Using Related Data Sources".