I think the difference is that country names are proper nouns, and there's no expectation that proper nouns derive from English. Given that ギリシャヨーグルト is the essentially the same as "Greek yoghurt" (with the standard words for "Greece" and "yoghurt"), I don't think we need to give the etymology.

@@ -13,0 +14 @@
+<gloss>Greek yogurt</gloss>

フランス共和国
フランス映画
フランス外人部隊
I'm with Robin here. I think country names are a bit different.

I think that's a weird and kind of contrived exception to be making - why should country names be treated any differently from other 
nouns (but only when used in compounds)? I think it's helpful to point out the etym here. Not everybody coming across this word will 
know that ギリシャ is the standard word for Greece.
I think we should have an lsrc on フランスパン too.

I don't think we treat country names as gairaigo (at least not when they're part of compound nouns). See フランスパン.

It's not a straight borrowing from English, 
though? Which is what having no lsrc on a 
gairaigo usu indicates in jmdict.