What country wears blankets on their heads?
Good question.
1. It's not a blanket, it's called an hijab.
2. In Islam, wearing the hijab is considered an obligation for Muslim women as part of modesty. However, there is no specific worldly punishment mentioned in the Qur’an or Sunnah for not wearing it. It is seen as a personal responsibility between the individual and Allah. Like other religious duties, choosing not to follow it is considered a sin, but Islam also emphasizes mercy, repentance, and personal growth.
In many Islamic nations the government and religion are closely intertwined and a lot of religious dictates are incorporated into civil law. Other Islamic nations have separated religion and government and "proper" Islamic dress is a choice that many, or even the overwhelming majority, disregard. Turkey, Albania, and Azerbaijan are examples. In fact, female Turkish government employees are forbidden to wear head scarves on the job.
So it's a combination of religion and country.