You could use the type='heatmap' with add_annotations to add the y variable. Make sure showarrow = FALSE like this:

library(plotly)
library(dplyr)

TestData1 %>%
  plot_ly(x = ~Countries, y = ~variable, z = ~value, type = "heatmap", colors = c("#56B1F7", "#132B43")) %>%
  add_annotations(text = ~value, x = ~Countries, y = ~variable, showarrow = FALSE, font = list(color = "white")) %>%
  layout(xaxis = list(side = "top"), 
         yaxis = list(title = ""), 
         showlegend = FALSE) %>%
  hide_colorbar()

^{Created on 2023-03-17 with reprex v2.0.2}