Currently, there are 195 countries in the world. 193 countries are member states of the United Nations; the other two are the Holy See (Sancta Sedes in Rome) and the State of Palestine. Of those 195 countries, there are only 28 that have names that contain five letters:
When you look for countries with only four letters in their names, the list gets shorter. Here are the 12 countries with four-letter names:
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For further reading: On the Tip of My Tongue by David Gentle (2008)