I have used country list lookup and state list lookup to retrieve the values from Country list and State list.
The filter option to look up for country in the state list lookup does not work.
Check out these two good examples and see if it helps you get to the bottom of the issue:
Three-Tier Cascading Drop Downs: Do Go Chasing Waterfalls!
Cascading drop downs and Nintex Forms for SharePoint
Also, what version of forms are you running? (Can view this under the help menu in the designer).
After I publish the form to Nintex live it doesn't work.
Would you start a new thread for this question in The specified item was not found.? You might find your question has more visibility.
It's 2010 Nintex Form and 2010 SharePoint.
Retrieving data ...