I want to dynamically create many triggers in the same script, but it fails, do you know any way to achieve this?

Try the following script:

declare @commands varchar(max) = '
    drop table if exists dbo.Countries
    drop table if exists dbo.Cities

    create table dbo.Countries(
        id int identity not null primary key,
        Country varchar(50) not null
    )

    create table dbo.Cities(
        id int identity not null primary key,
        City varchar(50) not null
    )
'

/* This execution works well */
execute (@commands)
go

declare @commands varchar(max) = '
    create trigger tr_Countries on
        dbo.Countries for insert as
    begin
        print ''A new country was created.''
    end

    create trigger tr_Cities on
        dbo.Cities for insert as
    begin
        print ''A new city was created.''
    end
'
/* This execution fails:
Msg 156, Level 15, State 1, Procedure tr_Countries, Line 8 [Batch Start Line 20]
Incorrect syntax near the keyword 'trigger'. 
*/
execute (@commands)

As you can see, the two batches are very similar, but the first one runs successfully but the second one fails.