I’ve written something very similar with Contact Form 7. Instead of a Country -> City relation, the relation is Car make -> Car model -> car year.
https://bdwm.be/how-to-create-dynamically-populated-cascading-dropdown-lists-for-contact-form-7/
You could start from a CSV file that looks like this:
Country, City
Germany, Berling
Germany, Stuttgart
China, Peking
...
Then create a contact form like this (with Contact Form 7 and Conditional Fields for Contact Form 7)
<label>Select your country: [select country include_blank]</label>
[group city-group]
<label>Select your city: [select city inlcude_blank]</label>
[/group]
You could add this condition to only show the city when a country is selected
show [city-group] if [country] not equals ""
Then in your functions.php you will need to write a function that that listens for an AJAX call and returns the possible values for the drop down lists to the client.
On the client side you will need initiate the AJAX call whenever a value in the drop down list changes, and based on the response update the values in the drop down lists.
You can find a detailed tutorial here:
https://bdwm.be/how-to-create-dynamically-populated-cascading-dropdown-lists-for-contact-form-7/