Your router doesn't care about their DNS settings. IP addresses are very easy to tie back to countries. The reason they say it's not reliable is because it's trivial to spoof the country, but even so, a lot of attackers don't even bother. It's sort of like the Nigerian prince scam calls: if you're wise enough to block Russia, you're not worth their time.
Your firewall vendor should supply you with country lists, just select the known bad ones and drop their traffic. If you have a consumer grade router, you will probably have to configure the blocklists manually.