Unfortunately that would not work as the SSL VPN listener to allow the initial connection occurs before the firewall, like an auto created rule that you cannot configure.
If you're just looking at blocking access to your SSL VPN from illegitimate sources then the security set-up of OpenVPN should be sturdy enough. It requires a dual factor (triple if you enable OTP in v16) wherein you need the valid client certificate and the username+pass that applies to that certificate.
To appropriately block access to your SSL VPN via countries, you need to do this through the ACL rules in Device access (Cog > Administration > Device Access). You can do this either via allowing SSL VPN on the WAN then restricting it using an ACL to block countries or denying WAN and using an ACL to allow countries.
