• A
• B
• C
• D
• E
• F
• G
• H
• I
• J
• K
• L
• M
• N
• O
• P
• Q
• R
• S
• T
• U
• V
• W
• X
• Y
• Z

There are no sovereign countries with names beginning with the letter W.

Additional Consideration:
1) Wales: Not a sovereign country, but one of the four constituent countries of the United Kingdom of Great Britain and Northern Ireland.