Hi,
for now not possible,

workaround:
You can create menu items for various country with Custom SQL Where params.

example:
Create a menu called 'Directory'
Create menu item of type Easy Profile->User List with title='US' and CUSTOM SQL WHERE='country LIKE "us" '
Create menu item of type Easy Profile->User List parent of US menu item with title='New York' and CUSTOM SQL WHERE='city LIKE "new york" '
Create menu item of type Easy Profile->User List parent of US menu item with title='Orlando' and CUSTOM SQL WHERE='city LIKE "orlando" '
.....


Create a module for this menu and set position with menu_directory.
you can put this menu anywhere you want (even in article) with {loadposition menu_directory}

Problems:
- No total
- No dynamic creation of menu items (in all the 'directory' components you need to create the categories, here you need to create menu item)

You can try this on Free version.

Thanks for your repose, Is it possible to create custom fields like 'Country' and 'City' on user registration page. Based on this information update following directory?

If new user selects Country as 'US' and City as 'Orlando' during registration. This user profile should show up in Orlando directory automatically.

US(100)

1. New york(23) 2. California(27) 3.Orlando(15)
4. Atlanta(10) 5. Chicago(25)

Yes,
BUT I tell you now that there is a problem.
with "Easy Profile" you can not create a field that depends on another field.
If you choose the country =US, the options in city will not be filtered for us country. No Way.

You can use Gmap field. but the query for menu item may not be accurate