//your json
var report={"last_updated":"2020-06-02T04:15:21Z","regions":{"world":{"name":"World","totals":{"confirmed":6370499,"recovered":2904076,"deaths":377515,"critical":2811064,"tests":11709},"list":[{"country":"Hong Kong","confirmed":1088,"deaths":4,"recovered":1037,"Incidence_Rate":"14.49915619446103","Case-Fatality_Ratio":"0.36798528058877644","last_updated":"2020-06-02T04:15:21Z","country_code":"hk","daily_confirmed":0,"daily_deaths":0,"critical":47,"tests":5},{"country":"Macao","confirmed":45,"deaths":-1,"recovered":45,"Incidence_Rate":"6.930092308829553","Case-Fatality_Ratio":"0.0","last_updated":"2020-06-02T04:15:21Z","country_code":"mo","daily_confirmed":0,"daily_deaths":-1,"critical":0,"tests":-1}]}}};
var world_list = report.regions.world.list;
for(var i in world_list){
//use word_list[i].country to retrieve slected value
var o = new Option(world_list[i].country, i);
$("select").append(o);
}
<script src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.3.1/jquery.min.js"></script>
<select>
</select>
report.regions.world.listin your question?