because "ein Ausland" does not exist. "Ausland" means all countries that are not the homeland. So "das Ausland" is grammaticly determined (because of the "das") but the meaning is not determined. There is not one country that can be called "das Ausland". So you can't translate it in English with "the foreign country" because "the foreign country" is just a foreign country of which you have already spoken... I'm sorry if it's confusing...
It's not a proper noun, but a noun and all nouns are capitalised in German, like "die Frau" is capitalised as well as "Angelika" (which is a proper noun). So "das Ausland" is capitalised as well as "England" or "Amerika". It may be quite confusing in the beginning if you have never asked yourself if the word that you use is a noun or not. To simplify things, try the question: "Can I use an article with this word? Der/die/das/ein/eine - the/a/an?" I'm not sure if you can do so with the English word "abroad" (without adding an other word) but you can with "Ausland". It's one of these words that have no equivalent in other languages... (Sometimes the same word can be a noun in one sentence and a verb in an other. "Reading" for example. "I like reading. = I like to read"-> verb, but "I like the reading" -> noun. It's the same in German...)
I was given one of the pick-a-word choice exercises to construct the sentence and doing it quickly I picked "wish" instead of "want", which i hadn't noticed was there. I realize this is not a direct translation but personally think it should have been accepted as a fair English translation (or the "wish" should not be included as an option).