It seems much of the controversy around "The Interview" could have been prevented by setting it in a fictitious country instead of the real North Korea, like they did for example in "The Dictator". Was there ever the consideration to use a fictitious country at any point of the production or were the filmmakers always set towards North Korea? And is there any information (or at least well-reasoned speculation) why this possibility wasn't explored?
No. The movie was always going to be set in North Korea. But originally it was about Kim Jong-Il. In a New York Times interview dated 12/16/2014, Seth Rogen said:
The idea was around for a long time. The first script was about Kim Jong-il [Mr. Kim’s father]
The threats and hack happened after the movie was finished (so there would be no reason to explore the options in your question). Seth had this to say about making Kim Jong-un the villain:
There was a lot of discussion. But it’s not an edgy position to take. It’s not like, “Well, politically, you’ve got to look at both sides.” He is bad. It’s controversial to him. But to everyone else, it’s fine. To their credit, [Sony] let us do it.
I'm confident that I can say Rogan always considered only setting it in North Korea with the real life dictator being the villain.
There may have been a little push back from Sony, initially. But, Rogan & Goldberg were the film makers not Sony...