USA must be in the main list of values BEFORE you select the Variable option. All values you intend to use in any choice must appear in the main box first.
Don't worry, the lead will only see the correct one.
For the value of USA to appear in the drop down, in addition to including it in the Visibility Rules as you have done so here, you also need to include it as a value in the Country select drop down. To do so go to the Country field, then select values on the right hand side. Then add "USA" or whatever other values you'd like to appear across the different visibility options here. As in the screenshots below.
Hope that helps!