The Students - Returning vs New report looks at the Parents' country field instead of the Student's country. If a Student is missing from the report when using the Country filter. Please check the Student's Parent's Profile through:
> Core > Users/Access > Profile > Edit User Profile Data
Search for user by last name and click on their name
Under Address, Click edit for their Home Address
If the Country field is blank, select the correct Country from the drop down then click Save & Exit.