There is a beautiful Import button on the List as well as on Modules. You can take full advantage of that to upload the data into Anaplan.
Next step would be to map the file with target. Once mapping is done run the import action
*Note: It is for the list import..
Can you please share the screenshot of your mapping window. Will be happy to assist you
Also, PFA screen shot of the data import.
Country codes are being used as a name in that list. If that is the case then in your Location import mapping you will have to map Parent of Location list to Country Code instead of Country Name
Only US worked because US (as a text) must be in Name and Code columns. Hope you got the expected responses!