A player chooses industries in countries, hoping for big payouts by having less comptetion in the industry. But if you own an industry and want to build the same industry in another country you will need to get permission. Of course, you can try to take over the country first then build in there, using the force of countries you own and mercnaries you have or with those you can persuade allies to contribute.
The type of government a country is can also have an effect on what you buy (or what you keep!). Kleptocracies can steal ownership of your industry. Dictatorships can nationalize an industry to shut you out. Democracies can buy you out.