The WSJT-X User Guide states, “WSJT-X includes a built-in cty.dat file containing DXCC prefix information. Updated files can be downloaded from the Amateur Radio Country Files web site when required. If an updated cty.dat is present in the logs folder and readable, it will be used in preference to the built-in one.”

To update to the latest country database, from the WSJT-X menu, click File | Open log directory.  Download CTY.DAT, then drag the file into that folder.