As a matter of shell coding style, the parentheses are completely unnecessary, and stuff in backticks works badly if there's a file name with spaces in it.

I don't see why you couldn't use that shell script to wrap the Perl code; there's nothing much there which Perl does better than the shell, other than not having to read the country file over and over again (but you could optimize that in the shell script, too). But anyway, here goes. I'm afraid this is completely untested.

#!/usr/bin/perl

die "Usage: $0 dir yearfile countryfile" unless (@ARGV == 3);

open (Y, "$ARGV[1]") || die "$0: Could not open $ARGV[1]: $!\n";
open (C, "$ARGV[2]") || die "$0: Could not open $ARGV[2]: $!\n";
my @countries = <C>;
close C;
while ($year = <Y>) {
  for $country (@countries) {
    handle ("$ARGV[0]/$year/$country");
  }
}
close Y;

sub handle {
  my ($file) = @_;
  open (F, $file) || die "$0: Could not open $file: $!\n";
  while (<F>) {
    if (/^\[Querying/) {
      print; @wanted = qw(OrgName NetRange inetnum descr owner Country);
      $wanted = &wanted(@wanted);
    }
    if ($wanted && $_  =~ m/$wanted/i) {
      print;
      @wanted = grep { $_ ne $1 } @wanted;
      $wanted = @wanted ? &wanted(@wanted) : "";
    }
    close F;
  }
}  
sub wanted {
  return "^(" . join ("|", map { quotemeta $_ } @_) . "):";
}