No, it's not correct. You cannot "belong" to a country. You could say: "Which country is he from?" "Where was he born?" "What's his nationality?" (passport) Hope this helps, Danielle

We don't use 'belong' like this. We don't think of people as belonging to a country. You say someone is 'from' a certain country. What country is he from? Or more generally 'where is he from?'

'What country is he from' would be better, or even 'where is he from?'