No, your Twilio for WhatsApp sender number does not need to match the country you’re sending to. Any Twilio WhatsApp number is capable of two-way messaging with WhatsApp recipients (sending as well as receiving replies), regardless of country. The only exceptions are end users with numbers from a few countries, such as Iran and North Korea, that WhatsApp has designated as blocked on WhatsApp for Business. For details and a list of blocked countries, see What countries can I reach with the Twilio API for WhatsApp?
For more information on which Twilio numbers are eligible for WhatsApp enablement, please see Which Twilio Phone Numbers are Compatible with WhatsApp?