Add this code to your child theme’s functions.php file or via a plugin that allows custom functions to be added, such as the Dessky Snippets plugin. Please don’t add custom code directly to your parent theme’s functions.php file as this will be overwritten completely when you update the theme.

/**
 * Change the default state and country on the checkout page
 */
add_filter( 'default_checkout_billing_country', 'change_default_checkout_country' );
add_filter( 'default_checkout_billing_state', 'change_default_checkout_state' );

function change_default_checkout_country() {
  return 'XX'; // country code
}

function change_default_checkout_state() {
  return 'XX'; // state code
}

Note that the default_checkout_billing_country filter affects both existing and non-existing users. If you want to only change the default for non-existing users, then you can use this:

/**
 * Change the default country on the checkout for non-existing users only
 */
add_filter( 'default_checkout_billing_country', 'change_default_checkout_country', 10, 1 );

function change_default_checkout_country( $country ) {
    // If the user already exists, don't override country
    if ( WC()->customer->get_is_paying_customer() ) {
        return $country;
    }

    return 'DE'; // Override default to Germany (an example)
}