Make Categories / Subcategories With Mvc?

I have a class

public class CountryListViewModel
{
public IEnumerable
Countries { get; set; }
}
public class CountryViewModel
{
public string CountryName { get; set; }
public string State { get; set; }
public IEnumerable<CityViewModel> Cities {
get; set; }
}
public class CityViewModel
{
public string CityName { get; set; }
public string CityLink { get; set; }
}

using linq to entity grouping by country and it works as designed. but I also have to group by state.

var query = from c in _db.MyTable
where c.IsActive && c.Country == country
group c by c.Country
into loc
select new CountryViewModel()
{
CountryName = loc.Key,
Cities = loc.Select(s => new CityViewModel() { CityName = s.City, CityLink = s.City }).Distinct()
};