"I am in Spain."
Translation:Tha mi anns an Spàinn.
ann an is basically a single word meaning in. It changes to anns before a definite article, so ann an in + an the → anns an in the and similarly in plural ann an in + na the → anns na in the (pl.).
Since many countries in Scottish have the article an the in their names (eg. an Spàinn Spain, literally the Spain) you use anns with them: anns an Spàin, lit. in the Spain.
Similarly you’d say ann an coilltean for in woods vs. anns na coilltean for in the woods, or ann am bàta in a boat vs. anns a’ bhàta in the boat.