If you have a passport, look at it. Mine lists my birthplace as "Wyoming, U.S.A." although an alternative such as "Cheyenne, Wyoming, U.S.A." would certainly be acceptable. "U.S.A., North America" is not an acceptable format in any country. If the location within the country is unknown or unspecified, simply listing the country "U.S.A." or "Kenya" would be the acceptable alternative.
On my Certificate of Naturalization it says Country of former origin and it mention that country, NOT USA!!!