Alright, I did a fix.
I renamed my en, fr and es fields with a prefix label_.
In my template I did this:
{exp:low_variables:parse var="var_eleads_countries"}
<option value="{var_eleads_countries:code}"> {var_eleads_countries:label_{segment_1}}</option>
{/exp:low_variables:parse}
{stash:nocache}```
The nocache tag is wrapped around my form, but it's important to close it and reopen it when parsing here, because otherwise, you'll have parsing issues on the {segment_1} tag.
Also, I fixed my typ in the var (*insert shame here*), which had to be var_eleads_countries rather than var_eleads_country.