Create Geographical regions -> countries structure and relationship with taxonomies

Make the countries a custom post type, set up taxonomies for continents (region parent) and the regions. Maybe you can even use just one taxonomy for both, but there is )was?) this weird case in WP, where it sees a difference between just child selected and child and parent selected.

That setup makes you independent from any plugin – you really, really don’t want a dependency on ACF in your database, trust me. 🙂