Hi w3p!
We’ve received a lot of feedback on how confusing this is so it’s definitely going to get fixed soon 
Here’s how the feature works at the moment - when you choose a country from the “Location” field, the “City, Zip, State” is automatically filled with a default location. So in case you want to track keywords country-wide, simply select the country of your choice and leave the default location assigned by the app for the “City, Zip, State” field.
Let me remind you that Local tracking is a BETA feature so it will only get better from here.
In the meantime, check out this guide for more information on how to set up your tracking location:
Local Tracking
Hope that clears it up.
Thanks for your feedback!