Apple does not provide a country list. I would imagine SOS is configured to work with any country that has a special number for emergency service. Here is a list of those:
https://en.wikipedia.org/wiki/List_of_emergency_telephone_numbers
I don't know if you actually dial an emergency number if your phone will re-route your home country's number to that of another country. In some countries your home country's emergency number might actually be part of the regular telephone number series. You wouldn't want to try to dial 911-xxxx in a country to get a hotel and have it automatically route to the emergency services. Again that is not documented and you may need to ask Apple.
Contact Apple for support and service --> "See a list of Apple phone numbers around the world."
Click here --> https://support.apple.com/HT201232
Edit: This article : Make emergency calls on iPhone - Apple Support
says you can dial by tapping Emergency from the locked screen but you need to use the number for the country where you are located. It also describes various methods for using the SOS feature.