This error happened because you have the state and country picklists feature enabled and it requires that both "state" and "country" fields are populated correctly.
For example, if you have "California" in your field "State", Salesforce expects you to put "US" in the field "Country". We recommend you to do one of the following:
If you don't want to disable state and country picklists, please make sure that for all records the "country" field matches the "state" field, meaning that the state that you are entering exists in the specified country. Here's the list of countries accepted by Salesforce