country">([w]*)<{.*n.*n.*n.*"city">([w]*)}

string HTML = @"
<table style='width:100%'>
    <tr><td class='country'>Germany</td></tr>
    <tr><td class='city'>Berlin</td></tr>
    <tr><td class='city'>Cologne</td></tr>
    <tr><td class='city'>Munich</td></tr>
    <tr><td class='country'>France</td></tr>
    <tr><td class='city'>Paris</td></tr>
    <tr><td class='country'>USA</td></tr>
    <tr><td class='city'>New York</td></tr>
    <tr><td class='city'>Las Vegas</td></tr>
</table>";

var regex = new Regex(
    @"
        class=[^>]*?
        (?<class>[-wd_]+)
        [^>]*>
        (?<text>[^<]+)
        <
    ",
    RegexOptions.Compiled | RegexOptions.IgnoreCase
    | RegexOptions.IgnorePatternWhitespace
);

var country = string.Empty;
var Countries = new Dictionary<string, List<string>>();
foreach (Match match in regex.Matches(HTML))
{
    string countryCity = match.Groups["class"].Value.Trim();
    string text = match.Groups["text"].Value.Trim();
    if (countryCity.Equals("country", StringComparison.OrdinalIgnoreCase))
    {
        country = text;
        Countries.Add(text, new List<string>());
    }
    else
    {
        Countries[country].Add(text);
    }
}