How do I pass parameters to my SQL statement?

I am trying to use SQL stored proc in Power BI that takes country values (150+ countries) as parameters. So far,I was able to add the SQL stored proc and dynamically pass parameters using the filters. This approach uses native queries and it appears that i have to run the query against all the countries and later use the filter... Is there a way to avoid it? Can i run the query for 1 country and retrive the data for other countries as needed based on the filter selected? Thanks