Did it myself. I downloaded the data from here.
I wrote this python script on it made all states data dependent on another list of countries made with Country code.
Province/State is dynamic dropdown here.
Country list look likes this
$app_list_strings['countries_dom']=array(
'' => '',
'AF' => 'Afghanistan',
'AL' => 'Albania',
'DZ' => 'Algeria',
....
....
'YE' => 'Yemen',
'SA' => 'Saudi Arabia',
'RE' => 'Russia',
);
Python script for making states list is something like this
for x in sorted_countries:
country_name = x[0]
country_code = x[1]
states_str = x[5]
states_list = states_str.split("|")
for state in states_list:
state = state.replace("'", "")
output += "'" + country_code + "_" + state + "'" + " " + "=>" + " " + "'" + state + "'" + ","
Now list of states look like this
$GLOBALS['app_list_strings']['province_country_dom']=array (
'' => '',
'AF_Badakhshan' => 'Badakhshan',
'AF_Badghis' => 'Badghis','
AF_Baghlan' => 'Baghlan',
....
....
'ZW_Matabeleland South' => 'Matabeleland South',
'ZW_Midlands' => 'Midlands',
);
I hope you understand what I did here. I hope this helps some one. 