[ UPDATE! ]
They have supposedly enabled this with a org definition file feature:
Disclaimer: I have not been able to use this feature when I try to turn this on I get the error:
ERROR: StateAndCountryPicklist is not a valid Features value.
[ Original Post ]
I've ran into this issue as well.
I was able to configure which Countries and State to show under Step 1:
Configure state and country/territory picklists.
Converted and Enabled the picklist and then...
When I did a sfdx force:source:pull it pulled the configured Active/Visible country options under Address.settings-meta.xml
I tried spinning up a new scratchOrg and it pushed those configuration but I still have to manually re-convert and enable picklists again.
I know it's not the answer you're looking for but just wanted to share my progress.