No, a select element does now allow for a palceholder attribute. Best I can suggest is something like the below.
Value: 0
Label: - Select Country -
Ideally value should be empty, but CB won't allow empty option value to store at this time. I've added a feature ticket to allow it though as there's no reason not to now since removing an option is just a matter of pressing - instead of leaving it blank like previously.
forge.joomlapolis.com/issues/5002