It is an interesting question, aparently it only depends on tradition in Polish language usage and there is no particular rule. Countries that go along with a preposition "na" are: Słowacja, Węgry, Ukraina, Białoruś, Litwa, £otwa and some island countries (like Kuba - but not Australia).
w Węgrzech, w Ukrainie, w Litwie, w Białorusi - hard to say and sound wierd :P
It is not hard to say at all and only seems weird to you because you naturally got used to forms with "na".
chorwacii
Chorwacji