Scotland is described by Wikipedia as a country, and it does qualify as a country under Wikipedia's definition ("a region that is identified as a distinct entity in political geography ... an independent sovereign state or part of a larger state"). But "the United Kingdom" would be at least an equally acceptable answer to the question as written.
In fact this might be described as an unsatisfactory question in more ways than one. If you've heard of the Antonine Wall, you'll know where it is; if you haven't, you'll just be guessing. But I'm guessing that most quizzers will have heard of it, and this makes the question a little on the easy side, to put it mildly.
Anyone who thought Hadrian's Wall was in Scotland would of course be wrong; it's in England. But the team that the question was passed over to could hardly fail to get it right, making this an either/or question; and the same argument could be used in reverse for the Antonine Wall question.
The Antonine wall runs from the Firth of Clyde in the west to the Firth of Forth in the east – in other words, through what is now known as Scotland's Central Belt. It was named after Antoninus Pius, who succeeded Hadrian as Roman Emperor in AD 138 and on whose order it was built.
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