This is a difficult question, because there are many instances of Romans exercising various degrees of sovereignty over territory independent of existing Roman government institutions. However, since you mention ‘country’ this makes me think you are referring to a Roman in control of a recognised, independent political-territorial entity which was not part of the Roman state. Here the answer is yes.

One example is in Asia Minor, when Rome began to exert influence over the area but didn’t want to formally integrate it into the state apparatus. There was at least one small client state which was ruled by a Roman citizen. This was an independent state, recognised by Rome as such.

However, it would be understandable to question exactly how much independence this small state really had.

Source: Stephen Mitchell, Anatolia: Land, Men, and Gods in Asia Minor