You simply might have creative differences
Your player seems to enjoy idealized stories, where the only thing necessary to make a things right is effort by a willful, and well-meaning individual. There's nothing inherently wrong with wanting to tell, hear, and be a part of stories like this for a campaign.You on the other hand seem to be interested in a more realistic portrayal within your fictional world of the state of being; that you can't always save everyone, that there are people who are not redeemable. There's nothing wrong with either approach, its just they are rather exclusive of one another. Ultimately you might not be able to reconcile what this player wants with the type of campaign you (and possibly the other players) want to run.
Options:
Always leave it to chance: that is don't have scripted deaths or enemies that will forever be evil because the plot requires it. make it so that it is possible, if the PCs find the right leverage, to win over the villain and have a backup waiting in the wings.
Change the tone of the game to fit the playr: if everyone else is okay with the type of game this player wants to play maybe run it the way they would like it to be.
Ask the player to get in-step with your campaign: Tell the player you won't be compromising on your story, either because you like it or the rest of the players prefer it, and that they will have to adapt or leave the table (in a friendly way).
Congrats on getting started with your first game. It sounds like have an excellent story going. I'll ignore the story-specific elements of your post, and focus on the question, "How can I handle being in a party where my character is at odds with everyone else?"
First of all, you should determine whether this is purely a conflict between characters, or if it is having a negative effect on the table. Think about the other players - are they having fun? Do they enjoy this kind of play?
If Your Group is Enjoying It
If the other players are enjoying this, then you are in good shape! Keep it up, have fun with your character and their backstory. You can expert a certain amount of conflict between the characters, but if you ever suspect that the other players aren't enjoying the conflict - see the next options.
If the Group isn't Enjoying It
On the other hand, the rest of your group may not be having a good time. Maybe they don't enjoy this kind of game, or maybe something about your approach is too aggressive. But for whatever reason, it's dragging down the game.
At this point, think about whether the other players have a problem with your character or you.
It's a Problem With My Character
Congrats, you have succumbed to My Guy Syndrome - a seldom fatal condition where a character is a huge downer, and the player justifies it because that's "what my guy would do".
Maybe your character can be rehabilitated. He takes a new oath, has a revelation, is psychically possessed by a new mind, has a new soul implanted - whatever. Maybe you talk to the other players and change, with no in-story reason. In any case, you decide to keep the character, but try to make him more acceptable to the other players.
If your character is beyond redemption (or if the situation is dire enough that the other players don't buy it), consider killing off the character and starting fresh. With the next character, setup a backstory that is less adversarial.
It's a Problem with Me
This isn't described in the question, but it is possible that the other players don't like you. In-character conflict is sometimes a proxy for conflict between people. If you suspect that is happening, talk to the other players and see if it can be resolved. If it can't, it's probably best to leave the game.
Best Answer
One of the ways to deal with the boundaries of a universe without technically railroading a player is to allow them to go outside of those boundaries as long as they understand it will take you a substantial amount of real-world time to prepare that content.
For example, if the player wants their character to go to another nation for reasons that were not already set up in your plans, then allow them to go to another nation, but their character will simply be absent from the game for one or two real-world weeks while you prep all the content that you were not prepared for and continue to run the game locally with the content you had prepared. In addition, when you do prepare the new content, it could be handled in a one-on-one session with the player while the other players who want to follow the narrative continue to play during your main session time. This works especially well if the rest of the party intends to stay local.
This sends the message that you're willing to work with the player and their desires but that there are logistical concerns on your part that they must appreciate if they wish to play in your setting.
Without knowing the dynamic of your group or this particular player, I don't know if the player is trying to provoke you or simply does not realize that his actions pose an inconvenience. If it is the latter, this or a similar solution should probably convey your perspective without any need for you to be combative or to railroad him. If it is the former, and he is just trying to push your buttons, then this solution amounts to an implied ultimatum: you will go along with his provocations, and in return he will be put in a de facto time-out.
In general this can work with groups of players that cannot get their characters to latch onto your narrative hooks and form a cohesive team. If people want their characters to split off, then they are welcome to do so, but that does not mean that you are able to focus on them all at once.
My answer specifically avoids creating any in-world rationale to try to curb the player's conduct. I'm suggesting that the best policy is honesty about the impact their conduct has on your job as the DM. You are essentially the editor and director of an epic miniseries written collaboratively by you and the players. Your player wants to force you to change the dramatic focus, to point the camera at him when it would ruin the pacing and plot you have storyboarded. Perhaps in the world you are creating together their character does have that agency to go wherever they want whenever they want, but that doesn't mean your camera is obligated to follow them immediately. In fact, you can choose to simply have the vagrant character's actions be conducted entirely off camera or as a brief spin-off that runs concurrently with the miniseries in a different and less popular time slot.