Hi and welcome to our forum. The best way is to create a separate XML file with this information and then add it as a Data Source which the dropdown can use. The XML file would look something like:
<StatesProvinces>
<StateProvince>California</StateProvince>
<StateProvince>Oregon</StateProvince>
<StateProvince>Washington</StateProvince>
<StateProvince>British Columbia</StateProvince>
</StatesProvinces>
You of course fill in the rest. Create this in notepad and save the file and rename it with a .XML extension. Then in InfoPath create your dropdown, select to look up options from a data connection, and add in a receive data connection that uses this XML file you created.
Shiraz Cupala / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge