TMG does not natively support geofencing like you are mentioning. You would have to manually define network ranges based on the countries you want to exclude. `the subnets can be found on sites like http://www.nirsoft.net/countryip/ Once you have the defined subnets you will have to use them in Deny rules that precede any Allow rules.
Since TMG is at end of life come December 31 you should really consider switching to an alternative.
Sophos UTM is the best feature for feature replacement to TMG, it also natively supports country blocking. Of course we have you covered there from a reporting perspective