Hai un punto e virgola dopo il blocco del parametro e ti manca il tuo IS
o AS
clausola:
CREATE OR REPLACE PROCEDURE add_vals (c_cntry_id OUT COUNTRIES.COUNTRY_ID%TYPE,
c_cntr_name IN COUNTRIES.COUNTRY_NAME%TYPE,
c_rgn_id IN COUNTRIES.REGION_ID%TYPE)
IS
BEGIN
INSERT INTO countries(COUNTRY_ID, COUNTRY_NAME,REGION_ID)
values (user_seq.nextval, c_cntr_name,c_rgn_id);
c_cntry_id := user_seq.currval;
EXCEPTION
WHEN dup_val_on_index
THEN
c_cntry_id := null;
END;
/