This is done with bridging. This article is written with the following assumptions: (1) The data exists in a way that would allow us to query for it the way we would need to and (2) Bridge qualifications have been set up to retrieve the data already.
Given these two preconditions, the first step is to create the questions on the form:
Currently, these are each empty drop down questions (no menus):
Now we are going to add the bridge resources to the form. This can be done all at once by click on Form Settings
Then you will want to click on Bridged Resources over on the right to open that section:
Once you open that section, you will want to Add Bridged Resource.
This will pop up a window to fill out. It is simplest to start with the highest level menu. In this case, it is a list of the US States, and we want to use the ALL qualification, so there are no parameters to specify.
Save that resource, then click Add Resource again. This time you will add the resource for the second level menu. This would be the counties by State, so this time there is a parameter, and it is the value that will be selected in the first menu field, State. This can be selected from the Variables drop down for the State parameter.
Once selected, the system will fill in the appropriate value into the parameter field and you can save this bridged resource.
Then, the cities bridged resource, which had two parameters, both State and County. These can be chosen from the Variables menu, just as before.
Once all the bridges are saved, They need to be applied to the questions. So, starting with the State question, select to use a Bridged Choice Definition and select the appropriate values for label and value.
Then do the same for county and city and you are all set.
The final result should behave something like this: