I honestly don’t know if WhatsApp has a server physically located in each country where its service is offered (and not banned). I doubt it. Also since Facebook now owns WhatsApp, the more relevant question is does Facebook have a server located in each country where its service is offered?
According to Datacenterknowledge.com, Facebook’s servers “are now housed in numerous gigantic data centers around the world. Facebook has not stopped building new data centers and seeking for new data center sites ever since it launched its first company-built and operated server farm in Prineville, Oregon, in April 2011.”