You should be able to just add your country, city, etc.. fields to your userlist and set them searchable. Users can then search the country of their choosing all from 1 userlist.

You can filter a userlist from GET or POST. This is done by simply adding the field criteria directly to the userlist URL. Example as follows.

index.php?option=com_comprofiler&view=userslist&cb_country=USA

You could use a 3rd party SEO extension to rewrite that into something more user friendly or custom htaccess rewrite rules. Example as follows.

URL: index.php?option=com_comprofiler&view=userslist&cb_country=USA
REWRITE: /members/usa

With the above "members" is the menu item alias while usa is the country filter.

Creating hundreds/thousands of menu items would just be a nightmare to maintain. What you proposed wouldn't help with SEO anyway as it's no different then using the searching as is. Using an SEO extension, menus items, or custom rewrite rules is your only option.

Creating thousands of menu items is not maintainable. Just create custom htaccess rewrite rules and utilize 1 menu item and 1 userlist. You can also create the rewrite rules with a 3rd party SEO extension. See my above reply where I've explained how this would work.

What you proposed again is no different than the filters as you can already pre-filter a userlist from GET. For example create an External URL menu item to the below and it'd filter cb_country to USA.

index.php?option=com_comprofiler&view=userslist&cb_country=USA

But Joomla does not utilize SEO for External URL menu items. What you're needing is to be able to create an internal menu item with Community Builder > Userlist menu type and to be able to specify the filters there, but again that's still having to maintain thousands of menu items which is not maintainable.