Assume that you are working on a smaller set of data for prototyping purpose, then here’s what you could do without heavy tinkering Axure -
Create the first droplist contains multiple countries
Build a Dynamic Panel with multiple states
Add one droplist for each state
Modify droplist content of each state to match different countries
Add droplist interaction for the first droplist (represented countries) with multiple case - change the state of dynamic panel based on selection of first droplist (therefore, you will different droplist presented)