[Plugin: Participants Database] fileds city, states, country

Not connected. In other words, I think you want to do a thing where only the cities for a chosen state show. That would have to be implemented as custom code.

You could add states as primary categories and cities as sub-categories of states, then use a widget like ‘AVH Extended Categories’ to do a dropdown of states with cities listed below each one. You could also use mega menu widget to do something similar.