Add this code to your child theme’s functions.php file or via a plugin that allows custom functions to be added, such as the Dessky Snippets plugin. Please don’t add custom code directly to your parent theme’s functions.php file as this will be overwritten completely when you update the theme.

/**
 * Add a new country to countries list
 */
add_filter( 'woocommerce_countries',  'handsome_bearded_guy_add_my_country' );
function handsome_bearded_guy_add_my_country( $countries ) {
  $new_countries = array(
	                    'NIRE'  => __( 'Northern Ireland', 'woocommerce' ),
	                    );

	return array_merge( $countries, $new_countries );
}

add_filter( 'woocommerce_continents', 'handsome_bearded_guy_add_my_country_to_continents' );
function handsome_bearded_guy_add_my_country_to_continents( $continents ) {
	$continents['EU']['countries'][] = 'NIRE';
	return $continents;
}