As of 2015, there are no countries with names that begin with the letter W. However, Western Sahara is a disputed territory formed from part of the former Spanish Sahara territory.
Western Sahara is a territory on the northern coast of Africa that while not completely independent with a functioning government, hasn't been completely absorbed into Morocco. Ever since the territory was freed from Spanish rule in 1976, part was annexed by Morocco, although the locals resisted, creating a dispute over the decades that continues as of 2015. The United Nations attempted to get the locals to vote for complete integration into Morocco or independence, but the vote never occurred. Algeria's Polisario Front acts as the voice of the locals, and the region is semi-autonomous.
There are also no countries starting with the letter X, although all the other letters in the alphabet are represented. There is even a country for letter Q: Qatar. Qatar is a country located on a peninsula proceeding from Saudi Arabia into the Persian Gulf. The other two letters of the alphabet with only one country apiece are O with Oman and Y with Yemen. Z has Zambia and Zimbabwe. Oman and Yemen are both located in the Middle East to the south of Saudi Arabia.