Well, does the stuff you made up entertain you? If you enjoy them then that's the answer. If you keep making up stuff that makes you bored or even depressed, that would be a bit weird.
I've always had various unrealistic fantasies. Some last very little while, some last for years. When I was little I had a fantasy that I was a rich man (I'm a girl) in one of those countries where polygamy was legal. I made up lots of detail of each of my wives, their names, looks, personality, even birthdays, and how many children each of them bore me.
It's completely crazy but it's a lot of fun to imagine being the head of a large and busy family. When in reality I was a poor girl who didn't even own any toys. I had a collection of pebbles to represent my wives and children when playing.
Sometimes I think many "normal" people probably have all sorts of weird daydreams, too. For most people that's strictly private information and they don't tell anybody. Say who'd like a private island? A private country, or even a private planet of their own? It's perfectly reasonable that you made up some countries.