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You can use REST API with describeSObject . The below articles would be helpful
https://salesforce.stackexchange.com/questions/13135/access-to-state-and-country-picklist-values-through-apex-or-api
https://stackoverflow.com/questions/20975357/retrieve-country-state-and-industry-lists-from-salesforce-using-the-metadata-api
https://salesforce.stackexchange.com/questions/223117/how-do-i-retrieve-country-and-state-picklist-values-addresssettings-via-api
https://developer.salesforce.com/docs/atlas.en-us.api.meta/api/sforce_api_calls_describesobject.htm?search_text=describesobject
<types>
<members>Address</members>
<name>Settings</name>
</types>
The retrieved file is called Address.setting-meta.xml under Settings folder.