I doubt that there's any one exhaustive list anywhere, and maybe if you collated enough lists you might come up with hundreds. Thousands sounds like a stretch, but I really don't know one way or another.

The distribution would probably change if we had more data. I don't know what to make of Gary's speculation; I think the sample size is just too small. Given that proxies can be located anywhere and used from anywhere, and it's generally safer to not put a proxy inside the jurisdiction of an oppressive government (duh), I can't interpret the presence of 14 in Vietnam and 10 in China. Makes no sense to me.

Just Googled "china proxy server" and hit a proxy list with something like 500 proxies. Quick eyeball suggests a broader and smoother distribution of countries. Quite a few in the Middle East on that list...so again, why places like Saudi Arabia and Bahrain and Jordan et al? I mean, even if the distribution is flat, still, why set up proxies where the government's most likely to be pissed off about it?

BTW, related material on that proxy list reminds me of other answers to your question about where the lists come from. Looks like people are using scanners nowadays, probably looking for Web servers that respond to the special form of URL used by proxies. Interesting...and geez, imagine scanning all possible IP addresses looking for a hit. No wonder the footnote says "runs in the background on a low-priority thread".

I also glossed over the commercial services. Last time I looked at the field there were just a handful. A little clicking around from the proxy list suggests that a lot more people are cashing in on the desire for privacy these days. Hey, think I should add a proxy for Zoners? Anonymous email?