Dritan Abazovic (the prime minister) is himself half Albanian, half Montenegrin, and he is very pro western. You can't hide in pro US countries.
He should have maybe taken a train to Serbia (not a US ally), then a plane to Russia and hide there.
Ps. For some reason criminals think small countries are safe, but capturing criminals like this, that are most wanted by the US, is a huge political win for the small countries, (brownie points with the US) and they will do whatever it takes to get them.
Best countries to hide are larger countries that are not fully US aligned (think Brazil), or US hostile (Russia, etc)