Hi @Andrew Acuna ,
Geo-IP blocking is probably the best way to do this. To block specific countries you can set up custom rules and security policies, and then restrict the access to your web applications by country or region. To create a geo-filtering custom rule, select "Geo-location" as the Match Type, and then select the country you want to allow/block from your application.
(See Geomatch Custom Rules and Front Door Geo Filtering.)
As you correctly noted, conditional access for MFA only blocks second-factor authentication and does not block first-factor authentication.
Another option that will give you part of what you need is to use Identity Protection to watch accounts for abnormal behavior. It doesn't exclude IPs of specific countries but does catch and block suspicious login attempts. https://learn.microsoft.com/en-us/azure/active-directory/identity-protection/overview-identity-protection