Location drop down options

Hi. Was wondering how would I be able to get one dropdown on the “Change Location” menu that would allow me to see only the countries in my options, then after selecting a country, it will only populate the drop down with only the cities listed in the country?

e.g.
“DROP DOWN”
A-country
B-country
C-country

Select>A-country
then

DROP DOWN shows only
A-city1
A-city2
A-city”n”