I definitely think the amount of objects is the issue. Are they tiles because you can own certain parts of the country (as opposed to owning the entire country)?
If not, you could make each country an object (white), and change its color via the event sheet? That way you don't need a separate object for each color varation? You'd have 195 objects (which is still quite a lot imo), but it'd be a lot better than 40,000!