I'd argue that Korea should probably be next on the list, but even that is kind of a stretch tbh (and might not be easy considering Japan-Korea history isn't good).
They've already cut deals in Korea right before Jim Ryan left, I guess maybe next year we'll probably start hearing about what exactly is in the pipeline.
These Hero Project initiatives seems more to address regions where the gaming revenue and userbase is growing a lot but consoles represent a small percentage of that, and is a place where also there are no big console games coming from there, but there's some local gamedev scene with cheap salaries. So they are emerging markets for gaming and specially console -and particularly PS- with high potential, particularly for cheap investments as in the Hero Project.
Sony wants to rise their console popularity there getting visibility in the country by supporting small local teams to make local console games.
Japan and Korea (plus NA or the main EU countries) already have an estabilshed and robust gamedev scene with access to incubators, funding, etc. and market including console, so for them instead of doing a Hero Project makes more sense to sign deals with local key players.
As I remember Sony already has deals signed by Jimbo with most of the main Korean devs like Nexon, NC Soft, Pearl Abyss, Neowiz, Shift Up (plus Com2uS was rumored). I assume in some cases to get mobile (+maybe PC) adaptations of the Sony IPs or console exclusives or marketing deals in others. Or in some rare case like Stellar Blade to get a 2nd party game. There's only Netmarble, Smilegate and Krafton as big Korean companies left, who may be too busy or not interested on partnering with Sony, or maybe Sony doesn't see fit.
After getting China, India and MENA the logical step following that pattern is LATAM. After that they could also do a SEA branch since there are a few SEA countries with a lot of growth or size at least in mobile gaming downloads like Indonesia, Phillippines, Vietnam, Malaysia or Singapore plus also some decent dev team (support, mobile, indie...).