I finally found a way to sort the countries list including non ASCII characters (french in my case).
It’s based on @wordpressfab code and added in function.php:
function wpcf7_listo_ordered( $data) {
setlocale(LC_ALL, 'fr_FR.utf8');
sort($data, SORT_LOCALE_STRING);
return $data;
}
add_filter( 'wpcf7_form_tag_data_option', 'wpcf7_listo_ordered', 11, 1 );
A setlocale PHP function is added with specific language to treat : fr_FR.utf8 for french.
And SORT_LOCALE_STRING parameter added to sort function to handle language specific characters.