Anns an and Anns a' mean in the, so would be used with countries requiring the definite article, e.g. anns an Fhraing (In France) or anns a' Ghearmailt (In Germany). You will also meet Anns na with countries that are plural, e.g. Anns na Stàitean Aonaichte (In the United States).
Ann an and Ann am mean in a, as in Ann an dùthaich (In a country), or in for countries not requiring the definite article, as in Ann an Innis Tìle (In Iceland) or Ann am Peru (In Peru). You might occasionally come across ann an shortened to simply an, but I don't think that's standard usage.