Does the adjective "Arabian" refer to the people or to the location? [duplicate]
“Egypt is an Arab country” would be grammatically correct if you were referring to the people, though linking ethnicity and nationality has its own problems.
Since you’re thinking of location, “Egypt is an Arabian country” would be gramatically correct, but you’re likely to run into people pointing out that it’s in Africa, not the Arabian Peninsula.
It might be better to say “Egypt is a country in the Arab World”. In this case, the word “Arab” qualifies the noun “World”, making it clear that you’re talking about a location.