If your country isn't listed on Amazon's approved country list, but you still want to sell on Amazon, then there are a few options for you.
1. You can explore setting up a corporation or LLC is a country that Amazon has approved. There will be some costs involved in this and you may require a lawyer to help you in this process in the country that you choose.
2. You could attempt to set up an address in a country that Amazon has approved. There are many companies that you can find that will give you a postal address or PO Box. To receive payments from Amazon, you could set up an online bank account with World First or Payoneer. While this is something many have done to sell on Amazon, you do need to investigate that it's safe and compliant with Amazon to do this.
3. You could explore a different online business model that is more suitable based on where you live, such as affiliate marketing, which is open to more countries.