If he flew from Serbia to Montenegro it would have just been completely dumb, crossing the land border would have been much safer for him. I suspect he was trying to leave for somewhere very far away but his Passport did not fool the airport staff
I wouldn't say any of them were a particularly smart choice.
I assume these are the commercial destinations. Is it out of the question that he chartered a flight?
You still go through customs when flying private.
Are they expecting every Cessna 172 travelling out-of-country to depart from one of their two international airports?