var grouped = People
  .GroupBy(l => new { l.State, l.Country})//group by two things
  .GroupBy(l=> l.Key.Country)//this will become the outer grouping


foreach(var country in grouped)
{
  foreach(var state in country)
  {
     foreach(var personInState in state)
     {
       string description = $"Name: {personInState.Name}, State: {state.StateCode}, Country: {country.CountryCode}";
       ...

     }
  }
}