Deploying Salesforce State and Country/Territory Picklists can be tricky, as not only do you need to find your picklist values, you also need to find their configuration settings.

To retrieve the picklist values, you need to select the Standard value set metadata type (items AddressCountryCode and AddressStateCode), and to get the configuration settings, you would need to also include Settings metadata type (item Address).
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So your selection would look like this for Standard value set:

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And this for Settings:

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Once the comparison loads, you'll be able to find the picklist values in Standard value sets and the configuration settings in the Address Settings item:

​In this example below, I am deploying new Standard value set metadata type (items AddressCountryCode and AddressStateCode), and the configuration settings are same hence not selected, otherwise you would need to also include Settings metadata type (item Address).

As per this Salesforce documentation, there are some limitations within the API as to what you're able to deploy. To quote Salesforce:

"You can use the Metadata API to edit existing states, countries, and territories in state and country/territory picklists. You can’t use the Metadata API to create or delete new states, countries, or territories.

To edit the existing states and countries in a picklist, configure your state and country/territory picklists in your sandbox org. Then, use the Metadata API to retrieve the sandbox configurations, and deploy them to your production org. You can’t deploy new ISO codes or update ISO code values using any API."