Example of how to update a PMPro user field with code.

my_update_location_options.php

<?php
/**
 * Update a PMPro User Field with Code.
 * We find the home_country field and update the options.
 * User fields are loaded into the pmpro_user_fields globals
 * during the init hook, priority 1. So we just need to run after that.
 */
function my_update_location_options() {
	global $pmpro_user_fields, $pmpro_countries;
	
	// In case fields aren't set, e.g. if PMPro isn't loaded.
	if ( empty( $pmpro_user_fields ) ) {
		return;
	}
	
	// Find our field.
	foreach ( $pmpro_user_fields as $group => $fields ) {
		foreach( $fields as $key => $field ) {
			if ( $field->name == 'home_country' ) {
				$home_country_group = $group;
				$home_country_field = $key;
				break 2;
			}			
		}
	}

	// If found, update it.
	if ( isset( $home_country_group ) && isset( $home_country_field ) ) {		
		$pmpro_user_fields[$home_country_group][$home_country_field]->options = array_merge( array('' => 'Choose One' ), $pmpro_countries );
	}
}
add_action( 'init', 'my_update_location_options' );