Create dimension table from 2 different tables

updated version:

Country = 
VAR vFilter = {"","null","(Blank)",BLANK()}
VAR vTableA = SELECTCOLUMNS('Table A',"Country",'Table A'[Country])
VAR vTableAFilter = FILTER(vTableA,NOT( [Country] in vFilter))
VAR vTableB = SELECTCOLUMNS('Table B',"Country",'Table B'[Country])
VAR vTableBFilter = FILTER(vTableB,NOT( [Country] in vFilter))
VAR vUnion = UNION(vTableAFilter,vTableBFilter)

return vUnion

This is a more dynamic approach,

1) select define values

2) select columns from source table A | B

3) Filter vTableA|B

4) Union