I believe George's birthplace should be Grand Duchy of Baden or Großherzogtum Baden.
The German Confederation was an alliance and not a unified nation until the 1860s if I am interpreting Wikipedia correctly.
You might add anything you know about parents or siblings. The censuses will probably just say Germany which would require further explanation.
The Grand Duchy of Baden existed from 1806 to 1918 so it is safe to say that was his birth nation. The standard is for the census takers to ask for the nation of any foreign-born citizens so my assumption is George was referring to the nation state and not the town of Baden (Baden-Baden in modern times). If you can verify somehow he meant the town of Baden then the preferred form would be to use the native language so Baden, Großherzogtum Baden otherwise just Großherzogtum Baden is the safe choice.
The trickier part is his parents. In the 1875 Census he puts their birth in Baden as well. Depending upon the year, they could easily have been born into the Electorate (Napoleon's reign) or as citizens of the Holy Roman Empire in the Margraviate of Baden. Additionally, if he meant the nation state as I suspect, there is another issue in that the Duchy covered considerably more territory than the Margraviate did. If his parents were born before 1806 (within the borders of the Duchy as George would have known them) but not within the town of Baden, they likely fell under a different jurisdiction entirely.