Both are grammatically correct. You'll need to choose either "these" or "those" based on context. As Jon says, "those countries" will be the correct form in most cases. If someone else mentions some countries that you have not visited, you should say " I haven't been to any of those countries yet." But if you are showing the countries to someone (by pointing to them on a map, for example, or writing a list), then you should say "these countries."

Yes, but no question mark. If you use "these" the context is a bit trickier. Easier in most situations will be "those countries."

here is another option but still it expresses the same meaning : i have never been to any of these countries before.

here is another option but still it expresses the same meaning : i have never been to any of these countries before.

They are both correct.