From what I understand, you would need custom javascript code to get this functionality.
Also, you may want to present the Country field as a single select field with list of countries. And when the country value is changed, you want to show another single select field with states for that country.
In your javascript code,
1> Check if country is already populated by Marketo. If yes, do not override (depends on your requirement)
2> Otherwise, read the query parameter and populate the country. And also show the rest of the country value options.
3> Separately, you can have 3 javascript arrays each for states of US, CA and AU. On change of the country value, if it is among these 3 countries, show the state field and populate the choices for the respective array.
Let me see if I can find the javascript code...
Rajesh