Does Shield block IPs by country/geo location?

No, it doesn't.

Geo/country blocking is based on IP addresses and is not entirely accurate. This is the reason on why we don't do IP blocking by geo/country location. 

To understand this better, please read the blog article here.

We use our automated IP manager (Automatic IP Black List system) instead.

This system is a part of the Bots & IPs Zone. It tracks bad behavior over a set period of time and as soon as it reaches the threshold, the Shield blocks it.

For more information about Automatic IP Black List system, read the article here.

If you need to geo-blocking IPs for some reason, you can review these methods here.