How do I add multiple videos into multiple shape layers
You'll need to make a separate layer for each county. You can do this by duplicating the entire NJ layer and deleting all but county #1, then duplicating the NJ layer and deleting all but county #2 and so on… You probably want to select all these layers and set their parent to the first layer so that if you transform one (move, scale, rotate) they'll all transform.

Once you have your separate layers you need to put the video layer for each county underneath its county shape layer. So it should look like a multi-layered sandwich, shape layer, then video, then shape, then video…

Then set the alpha matte for each video layer to the layer above. The alpha matte drop-down is next to the transfer mode drop-down. Then it will use the opacity of the layer above as a matte for the video layer.