Quiz by Denzal.
The fun really begins when sounds do not exist in one of the languages in question. In the case of Algeria/Dzayer/Aljazair etc, the letter ج is near English d, z, j, or soft g (e.g. as in 'assuage'); it has regional differences. Dz is one transliteration, as is J or G. ('Al' just means "the" btw, so it's sensibly dropped for the country code; you wouldn't use TH for The United States).
One solution is to just use IPA (international phonetic alphabet) which in this case is d͡ʒ but IPA is not so user-friendly. And don't get me started on English speeling ;)
PS: I am algerian.