Some countries are more made up than others.
Most of the countries in Africa and the Middle East were not formed by popular movements for self determination, but rather the result of foreign (mostly West European) political considerations, the people living in many of those countries - in aggregate - have no common ground, they associate with some ethnic group that does not identify with the state and are often seriously opposed to their union with other ethnic groups (Hutus and Tutsis in Rwanda are one extreme example of this; Sunnis, Shias and Christians in most Arab states are another).
Most European states are less made up than almost all non-European states, but Italy is much less a result of a group of people who chose to unite (or secede) than, say, the Balkan states in their current form.
Well, they're just conceptual entities, they don't actually exist in reality, like numbers. People make them up, other people confuse them reality, and then you have major problems, like nationalism.
