It can be as simple as joining the two questions with "or":
Are the developed countries the ones that left, or are the firms the ones that left?
That is a perfectly decent, unremarkable sentence all by itself.
Your original sentence,
Are developed countries the one who left or are they the firms?
is not really correct because the "they" sounds like it refers to the developed countries, which is not what you mean - this sentence sounds like "Are the developed countries the ones who left? Or are developed countries the firms?"
One vs Ones: It has to be "ones", not "one", because "countries" and "firms" are plural, so we have to use the plural "ones", not the singular "one".
Who vs That: Usually, "who" is for people and "that" for objects. Some resources say that groups of people, like countries, should be referred to with "that", but you will also find resources that say groups of people can be referred to with "who". In informal speech, "who" is fine, since both countries and firms are groups of people.
Other possibilities: If you really want to phrase it a different way, other possibilities are
Were the developed countries the ones who left, or was it the firms?
Did the developed countries leave, or did the firms?
Which ones left, the developed countries or the firms?