Providing some details about the device when alerting on an unexpected location would help with assessing this situation
For example:
Device Name
Intune managed / Hybrid Joined
Conditional access status of the sign in
Knowing the device being used at the unexpected location is company owned, managed and conditional access compliant would significantly reduce the concern with it being in another country.
Conversely, a random sign in from an OS X device in an unexpected country when a user is PC based would be an immediate concern.