Hi Tastiger
I am having the same problem as you do. I have my own JS solutions elsewhere for country/state drop down selects, however, the structure of CB seems extremely rigid and frustrating for this purpose. I posted something on this forum a month ago and I haven't had any response yet.
Currently, my CB has been set up in a way that both country and states are stored as an entry in jos_comprofiler_field_values, and it seems to be done in a way to circumvent the rigidity of CB structure. It seems that no obvious solution has been identified, and it is disappointing to see that even on CB's own web site, the state drop down list is this long laundry list that jams all states from all countries into one select... Unbelievable.
Sorry I offer no help, but you are not alone in this regard.
H