As per documentation:
If a function parameter contains a comma, then If a function parameter contains a comma, then be sure to escape this with \, otherwise JMeter will treat it as a parameter delimiter., otherwise JMeter will treat it as a parameter delimiter.
So you need to amend your declaration to be:
${__P(Test.Fields\,Session_Theme__c\,Room__r.Venue__r.Address__c\,Room__r.Venue__r.Country__c,)}
However the whole declaration looks very suspicious as __P() function doesn't declare anything, it reads a JMeter Property
Check out Apache JMeter Functions - An Introduction article to get familiarized with the JMeter Functions concept.
Going forward you might want to use The Function Helper Dialog which makes the process of generating a proper JMeter Function syntax easier
