Does it matter which country I am in to pursue this dive?
The best news about studying Shanghainese is that no matter where you are in the world, you can improve your Shanghainese. 
If you are near a city with a Chinese restaurant, any native Chinese (who can speak Shanghainese) will be amazed by your local dialect skills.  Even if they don’t speak Shanghainese, they will still be impressed!  
You can also find practice groups online. 
Bottom line, the answer is no: it doesn't matter at all which country you are in. Wherever you are, you can start learning or improve your Shanghainese. Truly, these days, if you want to become fluent in Shanghainese, and you aren't currently fluent, the only reason is: "YOU ARE LAZY". Remember the Break Diver's Creed: No Rules. No Excuses. No Regrets.