First you should design the database properly (normalize) to have different types of tables with proper relationships
eg: Country Table, State Table
Relationship between country table and state table should be 1 : M (Many)
Then when you generate your EF data model, you should be able to add values easily for parent (country) and child (state) within the same transaction. It should be similar to below code sample.
Country c = new Country(){
name = "india"
};
State s = new State(){
state = "AP"
};
c.States.Add(s);
DataContext.Countries.Add(c);
DataContext.SaveChanges();