Champagne is a sparkling wine but only wines made in this country can be called champagne?

You're absolutely right!

Only wines made in the Champagne region of France can be called Champagne. This is a protected geographical indication, similar to how only cheese from Roquefort, France can be called Roquefort.

While other sparkling wines from around the world exist and are delicious, they can't legally be called Champagne.