Sadly a quick look shows that displayNameForKey:value: to be (currently as of 4.2.x) missing from MonoTouch (and MonoMac) bindings. I'll look into implementing it and will update this entry once done.
UPDATE : Source code to work around the missing binding
    public void DisplayCountryCodeNames ()
    {
        NSLocale current = NSLocale.CurrentLocale;
        IntPtr handle = current.Handle;
        IntPtr selDisplayNameForKeyValue = new Selector ("displayNameForKey:value:").Handle;
        foreach (var countryCode in NSLocale.ISOCountryCodes) {
            using (var key = new NSString ("kCFLocaleCountryCodeKey")) {
                using (var nsvalue = new NSString (countryCode)) {
                    string ret = NSString.FromHandle (MonoTouch.ObjCRuntime.Messaging.IntPtr_objc_msgSend_IntPtr_IntPtr (handle, selDisplayNameForKeyValue, key.Handle, nsvalue.Handle));
                    Console.WriteLine ("{0} -> {1}", countryCode, ret);
                }
            }
        }
    }
Adapt to your liking and have fun with MonoTouch! 
p.s. I'll update the bindings so it will be included in future releases for MonoTouch in a more proper API ;-)