How to handle large select lists in content types?
Sounds like a perfect job for Simple hierarchical select

Simple hierarchical select defines a new form widget for taxonomy fields to select a term by &quot;browsing&quot; through the vocabularies hierarchy.
The widget is available in node forms and as Views exposed filter.

You can add your locations as a hierarchical taxonomy, and SHS will AJAX-load child terms into a new inline select, then children of those in a new select, and so on. Something like