multi value query parameter .... select cast(regexp_split_to_table('1,2,3,4,5,6',',') as int))
That may works directly as a PostgreSQL query with one fix string.
But if you have a multi-value parameter of type numeric in SSRS report, it sends the selected values as a comma separated list, not as one string.
So no need to use a split function, use directly in parameter for the IN compare, like
... where CountryId in (@yourParameter)