The Nobel Prizes are awarded by institutions in two countries: Sweden and Norway. The Nobel Prizes in Physics, Chemistry, Physiology or Medicine, Literature, and the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel are awarded in Stockholm, Sweden. Meanwhile, the Nobel Peace Prize is awarded in Oslo, Norway by the Norwegian Nobel Committee, as per the instructions in Alfred Nobel's will.
Thus, the Nobel Prize is not awarded by a single country, but by Swedish institutions for most categories and by Norway specifically for the Peace Prize.