T, Sql Server - rextester

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CREATE TABLE State
    ([Country] varchar(6), [StateCity] varchar(7))
;
    
INSERT INTO State
    ([Country], [StateCity])
VALUES
    ('USA', 'MO'),
    ('USA', 'LA'),
    ('USA', 'OH'),
    ('CANADA', 'Ontario'),
    ('CANADA', 'Toronto')
;

DECLARE @cols AS NVARCHAR(MAX),
        @query AS NVARCHAR(MAX);
        
SELECT row_number() over (partition by [Country] order by [StateCity]) [rn], 
       [StateCity],
       [Country]
INTO temp
FROM State;

SELECT *
FROM temp;

SET @cols = STUFF((SELECT distinct ',' + QUOTENAME(c.[Country]) 
            FROM temp c
            FOR XML PATH(''), TYPE
            ).value('.', 'NVARCHAR(MAX)') 
        ,1,1,'')

SELECT @cols as cols;

set @query = 'SELECT rn, ' + @cols + ' from 
            (
                select [rn]
                     , [StateCity]
                     , [Country]
                from temp
           ) x
            pivot 
            (
                 max(StateCity)
                for [Country] in (' + @cols + ')
            ) p ';

SELECT @query as query;
                
execute(@query);

View schema
Execution time: 0,03 sec, rows selected: 12, rows affected: 5, absolute service time: 0,22 sec