As I know, Mendix don´t have such widget (Dropdown/Selector Tree)
You may have to work with two Reference Selectors, one from Country and another for City.
You may work with a DropDown Container widget https://marketplace.mendix.com/link/component/111568
And put inside a TreeNode Widget or a TreeTable https://marketplace.mendix.com/link/component/111095
Hope its helps