In Commerece 2.x can address be selected in the country's official language? Upon setting up the address book, how can the select list of Country/Province/City etc. be displayed in the country's local language rather than in English?  e.g  廣東省　instead of Guangdong Sheng if China is selected as the Country?
Country and subdivision translations are selected based on the current language. If your site language is "zh" you should be seeing the local labels. 

For non-native languages the latin script alternative is shown for readability. If this is not working as I described, you can open an issue in the address issue queue.