Hey, there! I recently completed this challenge and commented this same thing elsewhere. I thought it was annoying too, but it's actually not that hard.
Every country has a "borders" property, with cca3 codes in them. You can use those country codes to query the API. Take a look at the API docs, you'll find the "List of codes" segment. https://restcountries.com/v3.1/alpha?codes={code},{code},{code}
So all you need to do when the page loads is take the "borders" property and insert the cca3 codes into the API endpoint like so: https://restcountries.com/v3.1/alpha?codes=col,pe,at
This will return the countries with those cca3 codes. You can then use those objects to render the full names of the countries, and make them into links.
My function looked something like this:
axios.get(https://restcountries.comv3.1alpha?codes=${country.borders.join(",")}).then(function (response) { setborderCountries(response.data); });
Hope this helps! Good luck :)