The title of this short story is explained through the theme of feeling alienated and alone. The literal meaning of how it feels to be separated from a familiar group is seen in the narrator. As an American in Italy, he feels out of place and alone. It is more than this, however, that separates the narrator and the other characters apart. Being "in another country" also means that the characters are separated according to their experiences in life. The narrator feels close to the major until the major learns of his wife's death. Due to this loss, the major is alienated from the narrator because the narrator hasn't experienced this kind of loss yet. The narrator cannot understand what the major is going through, so the two men are separated from each other.
The title of Hemingway's short story can be understood, of course, on a literal level first. The main character, a wounded American soldier in World War I, is not at home in the United States. Rather, he's in Milan, Italy, some distance from where the war is still being fought.
On a figurative level, the title expresses a sense of alienation or isolation of the main character. Again, he is not at home. The American is removed from all of the other people at the rehabilitation center (although he is certainly on friendly terms with the Major), the rehabilitation center is removed from the city of Milan, and so on.