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I suggest to make use of Dual() function. In the load script define your second level like this:
LOAD Dim1, Dual(Dim2, Match(Dim2, 'Country', 'State', 'City')) as Dim2, Dim3, Meas1, Meas2 from Source;
This will assign numeric values to Country (1), State (2) and City (3) and enable you to use numerical sorting.
Hope this helps.