Hi Dieter,
Thank you for contacting us and I'd be happy to assist.
Your questions can be divided into two main parts:
1. Structure:
The best way to store the data of Country and the related Cities would be to use two separate custom post types for each. This means that Country names will be stored in a custom post type "Countries" and City names will be stored in a custom post type "Cities".
To make a connection between these countries and cities, you can add a new one-to-many post-relationship, which means that each country can have multiple cities.
( ref: https://toolset.com/documentation/post-relationships/ )
2. Import:
As you noted, the "WP All Import" plugin can be used to import the posts in these new custom post types (i.e. Countries & Cities), and you can also add a column in the import file, to establish the relationship, during the import process.
Detailed instructions on the topic are available in the following guide:
https://toolset.com/documentation/user-guides/how-to-import-content-into-wordpress-using-csv/how-to-import-data-from-a-csv-file-using-the-wp-all-import-toolset-types-add-on-plugin/post-relationships/#example-2-one-to-many-relationships
I'm afraid, we don't have a pre-built module for the Country-City list, but you're welcome to submit a feature request for this at:
https://toolset.com/home/contact-us/suggest-a-new-feature-for-toolset/
It may also be possible to programmatically, extract the country-city list from the WooCommerce plugin and then generate the import file in the required format, but this will require a fair deal of custom code, which would be beyond the scope of the support that we provide.
For personalized assistance around custom code, you can consider hiring a professional from our list of recommended contractors:
https://toolset.com/contractors/
I hope this helps and please let me know if you need any further assistance around this.
regards,
Waqar