I'm trying to know the country that pays the highest salary from

Code you posted wouldn't compile; it lacks LAST_NAME in the GROUP BY (which is, basically, wrong as it would make what you're doing impossible) or - a better idea - remove it from the SELECT statement's column list.

Using RANK analytic function, you'd then have

WITH data
     AS (  SELECT country_name,
                  SUM (salary) sumsal,
                  RANK () OVER (ORDER BY SUM (salary) DESC) rn
             FROM employees e
                  JOIN departments d ON (e.department_id = d.department_id)
                  JOIN locations L ON (d.location_id = L.location_id)
                  JOIN Countries Cc ON (L.country_id = Cc.country_id)
                  JOIN regions Rr ON (Cc.region_id = Rr.region_id)
         GROUP BY country_name)
SELECT country_name, sumsal
  FROM data
 WHERE rn = 1;

I don't have your tables nor data so - for illustration - I'll use Scott's sample schema. Simplified, it would be like this:

SQL> select deptno, sum(sal)
  2  from emp
  3  group by deptno
  4  order by 2 desc;

    DEPTNO   SUM(SAL)
---------- ----------
        10      13750        --> this is a department you need
        20      10995
        30       9400

So:

SQL> WITH data
  2       AS (  SELECT deptno,
  3                    SUM (sal) sumsal,
  4                    RANK () OVER (ORDER BY SUM (sal) DESC) rn
  5               FROM emp
  6           GROUP BY deptno)
  7  SELECT deptno, sumsal
  8    FROM data
  9   WHERE rn = 1;

    DEPTNO     SUMSAL
---------- ----------
        10      13750

SQL>