New BUG in Winter 19: We can't turn ON Country State Picklists on fresh new Orgs (Confirmed as Know Issue by Salesforce)
Salesforce has fixed the known issue in latest patch
https://success.salesforce.com/issues_view?title=cannot-enable-state-and-country-picklists-on-a-developer-org&Id=a1p3A00000031hg
Please check on respective orgs.