You could use a formula in a new column like this:
If( Is Missing( :Mailing Country ) & Contains( {"AL","AZ"}, :Mailing State ), "USA" )
If you don't want a new column, then you could run this script to replace the missing values in the existing column:
For Each Row(
:Mailing Country = If( Is Missing( :Mailing Country ) & Contains( {"AL","AZ"}, :Mailing State ), "USA" );
);
You would have to expand the list in either case to include the two-letter code for every state before using.