You can, in fact, use country multiple times and get different results. Any other location fields will also be based on the generated country. Here's an example: http://mockaroo.com/a76b6890
I did, however, just notice a bug where if the filtered country list is not blank, the list for the last field is applied to all. I'll see if I can fix that soon.
Yes, those are the ISO 2-char codes.
If I understand you correctly, you'd need a way to look up other location fields, such as city and postal code, for a specific county code from a list or dataset, correct? There isn't a way to do that currently, though I might be able to build one.