Yes, that's absolutely doable assuming you have such field types. Take a look at the below userlist, click Search Users, and you'll find Country, State, City fields.
demo.cbdemosites.com/community/members
Full backend access is available on our demo site so feel free to check out how those fields are created in CB > Field Management. They are using CB Paid Subscriptions countries and provinces database tables, but you could source that data from anywhere you like. They are using the Query Autocomplete feature provided by CB Query Field, but you could use the new filterable query select functionality if you wanted. See my blog post below about the new filterable query select functionality.
www.joomlapolis.com/blog/kyle/19012-cb-query-field-6-2-0-and-cb-code-field-2-2-0