To answer your question… Yes, it’s doable.
But to give you some pointers into the right direction…
I’ve known some folks who have had good success using the WordPress Importer plugin. You could conceivably export your geo data from your database (using whatever DB management tool you’re comfortable with) to the import format that this plugin expects. Depending on your comfort level with PHP and DB schemas, you could even tweak this plugin to suit your needs.
But since you’re probably looking for a “one time” import, you might even whip up a PHP script and leverage the wp_insert_term function. (Again, depending on your comfort with PHP). This is probably how I’d do it. In general, I’d create a DB connection to my geo database, loop all the records, and inside the loop use wp_insert_term (keeping track of which cities, states, zips I’ve already inserted if necessary so that I don’t insert 20 “Holtsville” records).
So again… The answer is “Yes” definitely doable. But it might take a little work. Hope that helps a little. Good luck on the project!