I would like my bot to send message into chat like this:
await ctx.send("This country is not supported, you can ask me to add it here")
But to make "here" into clickable link, In HTML I would do it like this, right?
<a href="https://www.youtube.com/" > This country is not supported, you can ask me to add it here </a>
How can I do it in python?
As the other answer explained, you can't add hyperlinks in normal messages, but you can in Embeds. I don't see why you wouldn't want to use an Embed for an error message, especially considering it adds more functionality, so you should consider using that.
embed = discord.Embed()
embed.description = "This country is not supported, you can ask me to add it [here](your_link_goes_here)."
await ctx.send(embed=embed)
Feel free to mess around with the Embed & add some fields, a title, a colour, and whatever else you might want to do to make it look better. More info in the relevant API docs.