Drop-down lists on the search screen are build entirely by the data in your location records. Data in your location records are build entirely by the data that is imported or added on the location add/edit screen.
The geocoding process can interpret less-than-complete locations, and place a location in a country when the "Country" field was not provided during the import or added to the location manually. This will not add the "Country" to the list of countries available on the search screen. The "Country" field must be complete to match a search performed using the Country drop-down box. The same applies to city and state fields.
If you have one location with "Canada" as the country, and another with "CA", you will produce two entries in the drop-down list, one "CA" and one "Canada"
This allows you complete control over how these lists are populated and in what language.