Use this code, no need to change, As per your database scenario, I design.

import java.io.IOException;
import java.io.PrintWriter;
import java.sql.Connection;
import java.sql.DriverManager;
import java.sql.ResultSet;
import java.sql.Statement;

import javax.servlet.ServletException;
import javax.servlet.http.HttpServlet;
import javax.servlet.http.HttpServletRequest;
import javax.servlet.http.HttpServletResponse;

public class Data extends HttpServlet {
private int countryID;
public void doGet(HttpServletRequest req, HttpServletResponse res) throws ServletException, IOException{

String value = req.getParameter("country");
String dbQuery1 = "Select country_ID FROM TB_countries WHERE country_name='" + value + "'";
String dbQuery2 = "";

PrintWriter out = res.getWriter();
String result="";
try{
Class.forName("com.mysql.jdbc.Driver");
Connection con = DriverManager.getConnection("jdbc:mysql://localhost:3306/ashok";, "root", "mysql");
Statement stmt = con.createStatement();
ResultSet rs = stmt.executeQuery(dbQuery1);
while(rs.next()){
countryID = rs.getShort("country_ID");
}
dbQuery2 = "Select state_name FROM TB_states WHERE country_ID=" + countryID;
rs = stmt.executeQuery(dbQuery2);
while(rs.next()){
result = result + rs.getString("state_name") + ",";
}
}catch(Exception ex){

System.out.println(ex.getMessage());

}
out.write(result);
}

}

Thanks
Rajanikant