Getting country name from country code in WooCommerce

You can access the WC_Countries class with WC()->countries. So to get the country name from an order, you must use:

WC()->countries->countries[ $order->shipping_country ];

On WooCommerce 3.0+ you should use:

WC()->countries->countries[ $order->get_shipping_country() ];

If you like to get the state, you need before check if exist, since WooCommerce doesn't include all states, so here what do you need:

$states = WC()->countries->get_states( $order->get_shipping_country() );
$state  = ! empty( $states[ $order->get_shipping_state() ] ) ? $states[ $order->get_shipping_state() ] : '';

To get the state name from state code you can use.

WC()->countries->states[$order->billing_country][$order->billing_state];