Use acento grave(`) ou Cotação Única(') para dar o nome de alias da coluna no MySQL.
Tente isto:
SELECT `id` AS 'key', `country_name` AS value
FROM countries;
OU
SELECT `id` AS `key`, `country_name` AS value
FROM countries;
SELECT `id` AS 'key', `country_name` AS value
FROM countries;
SELECT `id` AS `key`, `country_name` AS value
FROM countries;