Concatenation, with separators, where any combo of input fields might be null
Does this do what you need?

select coalesce(city + ', ' + state, 
                city + ', ' + country, 
                state + ', ' + country, 
                country, 
                state, 
                city) as location




If you are 100% sure that the following holds, too (if there are constraints that make it certain):


  I will add that if a CITY and/or STATE value exists, then COUNTRY will never be NULL. 


then the last 2 parameters can be omitted as well:

select coalesce(city + ', ' + state, 
                city + ', ' + country, 
                state + ', ' + country, 
                country)