Just a rough sketch to get your idea:
- countries (hierarchical taxonomy)
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- France (country – sub taxonomy)
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- Champagne (state – sub sub taxonomy)
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- Le Mans (city – term)
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- Angers (city – term)
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- Nantes (city – term)
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And you want to order:
$query_results = query( 'country' => 'france', 'orderby' => 'state city', 'order' => 'ASC' );
Did i get this right? If not, feel free to edit my answer or update your Q.