UNSD SDGs API page can be accessed here: https://unstats.un.org/SDGAPI/swagger/#!/Series/V1SdgSeriesBySeriesCodeGeoAreasGet

Start by creating a vector of the series you want to check and download the complete list of countries.

library(jsonlite)
series <- c("VC_DSR_DAFF", "VC_DSR_LSGP", "SG_DSR_LGRGSR", "SG_DSR_SILS", "ER_GRF_ANIMSTOR", "ER_RSK_LBRED", "SH_STA_ASAIRP", "SH_STA_WASH", "SH_STA_POISN", "SH_H2O_SAFE", "EN_WWT_WWDS", "EN_H2O_WBAMBQ", "ER_H2O_WUEYST", "ER_H2O_STRESS", "ER_H2O_IWRMD", "EG_TBA_H2CO", "EN_WBE_PMPP", "DC_TOF_WASHL", "ER_WAT_PART", "EG_EGY_CLEAN", "EG_FEC_RNEW", "EG_EGY_PRIM", "EN_MAT_DOMCMPG",  "EN_ATM_CO2MVA", "VC_DSR_DAFF", "VC_DSR_LSGP", "EN_REF_WASCOL", "EN_ATM_PM25", "SG_DSR_LGRGSR", "SG_DSR_SILS", "SG_SCP_CNTRY",   "EN_MAT_DOMCMPG", "SG_HAZ_CMRBASEL", "ER_FFS_PRTSPR", "VC_DSR_DAFF", "SG_DSR_LGRGSR", "SG_DSR_SILS", "ER_H2O_FWTL", "ER_MRN_MARIN", "ER_REG_UNFCIM", "ER_RDE_OSEX", "AG_LND_FRST", "ER_PTD_FRWRT", "ER_PTD_TERRS", "AG_LND_FRSTPRCT", "ER_PTD_MOTN", "ER_MTN_GRNCVI",   "ER_RSK_LSTI", "ER_CBD_NAGOYA", "DC_ODA_BDVL", "DC_ODA_BDVL", "SG_INT_MBRDEV", "DC_FTA_TOTAL")

countries <- fromJSON("https://unstats.un.org/SDGAPI/v1/sdg/GeoArea/List")

pasteurl is a function that makes the right API url for each series in the series vector you created.

pasteurl <- function(series){
  baseurl <- "https://unstats.un.org/SDGAPI/v1/sdg/Series/"
  paste(baseurl, series, "/GeoAreas", sep="")
}
apiURLs <- as.vector(sapply(series, pasteurl))

This for loop will create a data frame where the first column is the complete list of GeoAreas and the subsequent columns show TRUE (has data) or FALSE (no data) for each of the series.

for (i in 1:length(series)){
    dat <- fromJSON(apiURLs[i])
    dat <- dat$geoAreaName
    incountries <- countries$geoAreaName %in% dat
    countries <- cbind(countries, incountries)
}
names(countries) <- c("GeoAreaCode", "geoAreaName", series)
countries[1:10,1:10]
##    GeoAreaCode         geoAreaName VC_DSR_DAFF VC_DSR_LSGP SG_DSR_LGRGSR
## 1            4         Afghanistan       FALSE       FALSE         FALSE
## 2          248       ร…land Islands       FALSE       FALSE         FALSE
## 3            8             Albania        TRUE        TRUE         FALSE
## 4           12             Algeria       FALSE       FALSE         FALSE
## 5           16      American Samoa        TRUE        TRUE         FALSE
## 6           20             Andorra       FALSE       FALSE         FALSE
## 7           24              Angola        TRUE        TRUE         FALSE
## 8          660            Anguilla       FALSE       FALSE         FALSE
## 9           10          Antarctica       FALSE       FALSE         FALSE
## 10          28 Antigua and Barbuda        TRUE        TRUE         FALSE
##    SG_DSR_SILS ER_GRF_ANIMSTOR ER_RSK_LBRED SH_STA_ASAIRP SH_STA_WASH
## 1        FALSE            TRUE         TRUE          TRUE        TRUE
## 2        FALSE           FALSE        FALSE         FALSE       FALSE
## 3        FALSE            TRUE         TRUE          TRUE        TRUE
## 4        FALSE            TRUE         TRUE          TRUE        TRUE
## 5        FALSE           FALSE        FALSE         FALSE       FALSE
## 6        FALSE           FALSE        FALSE          TRUE       FALSE
## 7        FALSE            TRUE         TRUE          TRUE        TRUE
## 8        FALSE            TRUE        FALSE         FALSE       FALSE
## 9        FALSE           FALSE        FALSE         FALSE       FALSE
## 10       FALSE            TRUE         TRUE          TRUE        TRUE