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You will eventually lose all the funding nations (except russia) as they are infiltrated 1 by 1, but that doesn't really matter. By the time that happens, funding from nations is really just a drop in the bucket.
You can only lose for three reasons:
1. Failing the final mission
2. Losing all your bases
3. Two consecutive months of negative score / debt. The specific numbers are based on difficulty.
Shooting down every single ufo has no effect on the success of the mission, just how long it takes to succeed.
And as soon as that infiltration mission finishes, it will generate a guaranteed new infiltration mission in the same region the following month.
Each region, mission pair has a weight that determines how likely it is to come up. Every month, one or two missions are selected from this table, but once a mission is selected the weight is set to 0, so that combination can never be chosen again. This means that there can never be more than 8 infiltration missions (I think it's actually less because you can't have an Antarctica Infiltration), and there are more countries in the game than that.
Each mission rolls independently for each region. The thing with infiltrations is that as soon as an infiltration mission completes, it immediately generates a new one in that region. I think the code that keeps track of where missions run is really only used for Synomium Sites in TFTD, but I could be misremembering that part.
The reason you can't lose every country is a bug with Russia because of how it spans regions on the globe.