What if the country data contains special characters like  ' \ ?

For data protection SQLite has sqlite_escape_string() function that should be used to escape data. 

<?php
$db = sqlite_open("./ip.db");
    
$fp = fopen("./ip-to-country.csv", "r");
// read ip information 1 entry at a time
while (($row = fgetcsv($fp, 4096))) {
    // secure data
    foreach ($row as $key => $val) {
        $row[$key] = sqlite_escape_string($val);
    }

    sqlite_query("INSERT INTO country_data 
        (cc_code_2, cc_code_3, country_name) 
        VALUES('{$row[2]}', '{$row[3]}', '{$row[4]}')", 
        $db);
}
fclose($fp);
?>
Why not use addslashes() ?
sqlite_escape_string() can properly encode handle binary data (such as images) to make sure that it can be later retrieved without data loss and/or corruption.