You shouldn't pick one or the other for speed so much as for data integrity and ease of maintenance.
Using a seperate table in mysql allows you to add values at a later date. I.e. if you have three countrys to start, it's easy to write an interface that adds countries to the other tables over time. Changing your DDL to say the enum can have more items is not quite as easy to do for a web app. Plus a table like that would likley have more than just the country name, it should have all the info for that country, so it doesn't get repeated elsewhere.
On the other hand, enum is more like a data constraint in other relational databases (i.e. create table test (name text check in ("bob","robert","stan"), id int8); ) It forces all the entries to be from the list and only from the list.
The enum / check in constraint setup is generally faster, but less flexible after being setup.