You can use pycountry to get a list of all the countries:

pip install pycountry 

Or you can use this dictionary:

Country = [
    ('US', 'United States'),
    ('AF', 'Afghanistan'),
    ('AL', 'Albania'),
    ('DZ', 'Algeria'),
    ('AS', 'American Samoa'),
    ('AD', 'Andorra'),
    ('AO', 'Angola'),
    ('AI', 'Anguilla'),
    ('AQ', 'Antarctica'),
    ('AG', 'Antigua And Barbuda'),
    ('AR', 'Argentina'),
    ('AM', 'Armenia'),
    ('AW', 'Aruba'),
    ('AU', 'Australia'),
    ('AT', 'Austria'),
    ('AZ', 'Azerbaijan'),
    ('BS', 'Bahamas'),
    ('BH', 'Bahrain'),
    ('BD', 'Bangladesh'),
    ('BB', 'Barbados'),
    ('BY', 'Belarus'),
    ('BE', 'Belgium'),
    ('BZ', 'Belize'),
    ('BJ', 'Benin'),
    ('BM', 'Bermuda'),
    ('BT', 'Bhutan'),
    ('BO', 'Bolivia'),
    ('BA', 'Bosnia And Herzegowina'),
    ('BW', 'Botswana'),
    ('BV', 'Bouvet Island'),
    ('BR', 'Brazil'),
    ('BN', 'Brunei Darussalam'),
    ('BG', 'Bulgaria'),
    ('BF', 'Burkina Faso'),
    ('BI', 'Burundi'),
    ('KH', 'Cambodia'),
    ('CM', 'Cameroon'),
    ('CA', 'Canada'),
    ('CV', 'Cape Verde'),
    ('KY', 'Cayman Islands'),
    ('CF', 'Central African Rep'),
    ('TD', 'Chad'),
    ('CL', 'Chile'),
    ('CN', 'China'),
    ('CX', 'Christmas Island'),
    ('CC', 'Cocos Islands'),
    ('CO', 'Colombia'),
    ('KM', 'Comoros'),
    ('CG', 'Congo'),
    ('CK', 'Cook Islands'),
    ('CR', 'Costa Rica'),
    ('CI', 'Cote D`ivoire'),
    ('HR', 'Croatia'),
    ('CU', 'Cuba'),
    ('CY', 'Cyprus'),
    ('CZ', 'Czech Republic'),
    ('DK', 'Denmark'),
    ('DJ', 'Djibouti'),
    ('DM', 'Dominica'),
    ('DO', 'Dominican Republic'),
    ('TP', 'East Timor'),
    ('EC', 'Ecuador'),
    ('EG', 'Egypt'),
    ('SV', 'El Salvador'),
    ('GQ', 'Equatorial Guinea'),
    ('ER', 'Eritrea'),
    ('EE', 'Estonia'),
    ('ET', 'Ethiopia'),
    ('FK', 'Falkland Islands (Malvinas)'),
    ('FO', 'Faroe Islands'),
    ('FJ', 'Fiji'),
    ('FI', 'Finland'),
    ('FR', 'France'),
    ('GF', 'French Guiana'),
    ('PF', 'French Polynesia'),
    ('TF', 'French S. Territories'),
    ('GA', 'Gabon'),
    ('GM', 'Gambia'),
    ('GE', 'Georgia'),
    ('DE', 'Germany'),
    ('GH', 'Ghana'),
    ('GI', 'Gibraltar'),
    ('GR', 'Greece'),
    ('GL', 'Greenland'),
    ('GD', 'Grenada'),
    ('GP', 'Guadeloupe'),
    ('GU', 'Guam'),
    ('GT', 'Guatemala'),
    ('GN', 'Guinea'),
    ('GW', 'Guinea-bissau'),
    ('GY', 'Guyana'),
    ('HT', 'Haiti'),
    ('HN', 'Honduras'),
    ('HK', 'Hong Kong'),
    ('HU', 'Hungary'),
    ('IS', 'Iceland'),
    ('IN', 'India'),
    ('ID', 'Indonesia'),
    ('IR', 'Iran'),
    ('IQ', 'Iraq'),
    ('IE', 'Ireland'),
    ('IL', 'Israel'),
    ('IT', 'Italy'),
    ('JM', 'Jamaica'),
    ('JP', 'Japan'),
    ('JO', 'Jordan'),
    ('KZ', 'Kazakhstan'),
    ('KE', 'Kenya'),
    ('KI', 'Kiribati'),
    ('KP', 'Korea (North)'),
    ('KR', 'Korea (South)'),
    ('KW', 'Kuwait'),
    ('KG', 'Kyrgyzstan'),
    ('LA', 'Laos'),
    ('LV', 'Latvia'),
    ('LB', 'Lebanon'),
    ('LS', 'Lesotho'),
    ('LR', 'Liberia'),
    ('LY', 'Libya'),
    ('LI', 'Liechtenstein'),
    ('LT', 'Lithuania'),
    ('LU', 'Luxembourg'),
    ('MO', 'Macau'),
    ('MK', 'Macedonia'),
    ('MG', 'Madagascar'),
    ('MW', 'Malawi'),
    ('MY', 'Malaysia'),
    ('MV', 'Maldives'),
    ('ML', 'Mali'),
    ('MT', 'Malta'),
    ('MH', 'Marshall Islands'),
    ('MQ', 'Martinique'),
    ('MR', 'Mauritania'),
    ('MU', 'Mauritius'),
    ('YT', 'Mayotte'),
    ('MX', 'Mexico'),
    ('FM', 'Micronesia'),
    ('MD', 'Moldova'),
    ('MC', 'Monaco'),
    ('MN', 'Mongolia'),
    ('MS', 'Montserrat'),
    ('MA', 'Morocco'),
    ('MZ', 'Mozambique'),
    ('MM', 'Myanmar'),
    ('NA', 'Namibia'),
    ('NR', 'Nauru'),
    ('NP', 'Nepal'),
    ('NL', 'Netherlands'),
    ('AN', 'Netherlands Antilles'),
    ('NC', 'New Caledonia'),
    ('NZ', 'New Zealand'),
    ('NI', 'Nicaragua'),
    ('NE', 'Niger'),
    ('NG', 'Nigeria'),
    ('NU', 'Niue'),
    ('NF', 'Norfolk Island'),
    ('MP', 'Northern Mariana Islands'),
    ('NO', 'Norway'),
    ('OM', 'Oman'),
    ('PK', 'Pakistan'),
    ('PW', 'Palau'),
    ('PA', 'Panama'),
    ('PG', 'Papua New Guinea'),
    ('PY', 'Paraguay'),
    ('PE', 'Peru'),
    ('PH', 'Philippines'),
    ('PN', 'Pitcairn'),
    ('PL', 'Poland'),
    ('PT', 'Portugal'),
    ('PR', 'Puerto Rico'),
    ('QA', 'Qatar'),
    ('RE', 'Reunion'),
    ('RO', 'Romania'),
    ('RU', 'Russian Federation'),
    ('RW', 'Rwanda'),
    ('KN', 'Saint Kitts And Nevis'),
    ('LC', 'Saint Lucia'),
    ('VC', 'St Vincent/Grenadines'),
    ('WS', 'Samoa'),
    ('SM', 'San Marino'),
    ('ST', 'Sao Tome'),
    ('SA', 'Saudi Arabia'),
    ('SN', 'Senegal'),
    ('SC', 'Seychelles'),
    ('SL', 'Sierra Leone'),
    ('SG', 'Singapore'),
    ('SK', 'Slovakia'),
    ('SI', 'Slovenia'),
    ('SB', 'Solomon Islands'),
    ('SO', 'Somalia'),
    ('ZA', 'South Africa'),
    ('ES', 'Spain'),
    ('LK', 'Sri Lanka'),
    ('SH', 'St. Helena'),
    ('PM', 'St.Pierre'),
    ('SD', 'Sudan'),
    ('SR', 'Suriname'),
    ('SZ', 'Swaziland'),
    ('SE', 'Sweden'),
    ('CH', 'Switzerland'),
    ('SY', 'Syrian Arab Republic'),
    ('TW', 'Taiwan'),
    ('TJ', 'Tajikistan'),
    ('TZ', 'Tanzania'),
    ('TH', 'Thailand'),
    ('TG', 'Togo'),
    ('TK', 'Tokelau'),
    ('TO', 'Tonga'),
    ('TT', 'Trinidad And Tobago'),
    ('TN', 'Tunisia'),
    ('TR', 'Turkey'),
    ('TM', 'Turkmenistan'),
    ('TV', 'Tuvalu'),
    ('UG', 'Uganda'),
    ('UA', 'Ukraine'),
    ('AE', 'United Arab Emirates'),
    ('UK', 'United Kingdom'),
    ('UY', 'Uruguay'),
    ('UZ', 'Uzbekistan'),
    ('VU', 'Vanuatu'),
    ('VA', 'Vatican City State'),
    ('VE', 'Venezuela'),
    ('VN', 'Viet Nam'),
    ('VG', 'Virgin Islands (British)'),
    ('VI', 'Virgin Islands (U.S.)'),
    ('EH', 'Western Sahara'),
    ('YE', 'Yemen'),
    ('YU', 'Yugoslavia'),
    ('ZR', 'Zaire'),
    ('ZM', 'Zambia'),
    ('ZW', 'Zimbabwe')
]

Update 2021: The module has been updated including shortcomings mentioned by @JurajBezručka

This, albeit not being elegant at all, worked for me:

def country_code_converter(input_countries):
    """
    :param input_countries: list containing the name of the countries (can be numpy array)
    :return: list with the ISO alpha 3 codes for the given input ('Unknown Country' if no match found)
    """
    countries = {}
    countries_official = {}
    countries_common = {}

    #loops over all of the countries contained in the pycountry library and populates dictionary
    for country in pycountry.countries:
        countries[country.name] = country.alpha_3

    #loops over the alpha_3 codes from the countries dictionary
    #populates dictionary containing official names and codes
    for alpha_3 in list(countries.values()):
        try:
            countries_official[pycountry.countries.get(alpha_3 = alpha_3).official_name] = alpha_3
        except:
            None
    #same for common names
    for alpha_3 in list(countries.values()):
        try:
            countries_common[pycountry.countries.get(alpha_3 = alpha_3).common_name] = alpha_3
        except:
            None

    codes = []
    # appends ISO codes for all matches by trying different country name types
    # appends Unknown Country if no match found
    for i in input_countries:
        if i in countries.keys():
            codes.append(countries.get(i))

        elif i in countries_official.keys():
            codes.append(countries_official.get(i))

        elif i in countries_common.keys():
            codes.append(countries_common.get(i))

        else:
            codes.append('Unknown Country')
    return codes

For Python3, I believe that using the Pytz built-in module will be easier

>> import pytz
>> print(pytz.country_names['tn'])
Tunisia