In English, whilst I think it is less literal, 'I have never been to that country' is a better sentence to describe the same thing. I would never use this sentence.
Not sure if this is a correct explanation for why your sentence was incorrect, but I believe in this sentence we are supposed to be talking about past experiences.
In English when we want to talk about past experiences (without a specific date) we used the present perfect. But in Portuguese they use the past simple for past experiences- most of the time past simple in English would not be correct in many contexts. e.g Have you already seen this film? - Você ja viu este filme? In this case 'Did you already see this film' would not be correct English because we are talking about an experience.
I have NEVER been in that country = Eu NUNCA estive naquele país
I have NOT been in that country = Eu NÃO estive naquele país
As far as I understand, the sentence should be "I've never been to". Is it also possible to say "I've never been in" ?
The word "have" is part of the present perfect tense in English:
Present: I am in Brazil. = Estou no Brasil.
Past: I was in Brazil. = Eu estava no Brasil.
Present Perfect: I have been in Brazil. = Estive no Brasil.
Nota Bem: The English present perfect has the same structure as the Portuguese pretérito perfeito (composto), but the two tenses don't translate eachother.
Pretérito perfeito: Tenho chegado cedo = I have been arriving early.
Present perfect: I have arrived early. = Cheguei cedo.
The way I would say this in UK English would be "I have never visited that country," but this is apparently wrong. How would I say that phrase in Portuguese please? Many thanks