Add custom class in country and state drop down list in magento

File path : /app/code/core/Mage/Directory/Block/Data.php

For country dropdown:-

Go to this getCountryHtmlSelect() function and set

->setClass('validate-select form-control') -- add class

For state dropdown:-

Go to this getRegionHtmlSelect() function and set

->setClass('required-entry validate-state')-- add class