The country code must be lowercase, and the language code must include the country component (in uppercase). yes, it is inconsistent and not specified anywhere.
https://ssl.bing.com/webmaster/api.svc/json/GetKeywordStats?apikey=myAPIKey&q=kreeft&country=be&language=nl-BE
For more, see the blog article: http://bing-webmaster-api.analyticsedge.com/2014/05/getkeywordstats/