It is important to know that the script uses Geonames database (http://www.geonames.org) (their most structured database) for data on cities and administrative divisions.
But, unfortunately, this database is not complete for any country. And you need to update this database (from your Admin panel -> Settings -> International -> Countries) by adding new data (respecting the Geonames data format) or by modifying existing data or by deleting them.
You have to update the countries locations database from your Admin panel -> Settings -> International -> Countries (see the screenshot below)
The script does not support certain countries (Kosovo, some islands, etc.) automatically because the data in these countries are not reliable. And you will need to add the missing (or incorrect) data manually from your admin panel
You can also delete all data from Geoname and add your own data. WARNING: All your website data will be removed (including: posts, users, etc.). So it's strongly not recommended to do this operation when your website is already in production.
To do that, you need to:
Clear the “subadmin1”, “subadmin2” and “cities” tables in your database (using phpMyAdmin)
Add new data from your Admin panel for your country (or for active countries)