Используйте LinqPad для демонстрации небольшой части кода.
Попробуйте это решение:
List<string> ids = new List<string>(){"036","208","999"};
Dictionary<string,string> data = new Dictionary<string,string>(){
{"036","AUSTRALIA"}, {"208","DENMARK"},
{"380","ITALY"},{"578","NORWAY"}};
var res = from id in ids
from d in data
where id == d.Key
select d.Value;
res = res.Union(from id in ids
where !(from d in data select d.Key).Contains(id)
select "UNKNOWN ID ("+id+")");
res.Dump();