I agree that anything smaller than a country (state, province, county, district, parish) should be spelled out if for not other reason than it can be confusing for someone not familiar with that country. For example, "St Geo Han" (which I encountered in a census record recently) should be spelled out as "St. George Hanover Square" to prevent confusion.
To achieve a degree of brevity I think, for currently existing countries, it is an acceptable option to use the International Standards Organization alpha codes. http://en.wikipedia.org/wiki/ISO_3166-1_alpha-3; names of countries that no longer exist, for example Prussia (the Kingdom of), should be spelled out, as it was known in a/the native language of that country. I am not very familiar with the region or laguages but I believe in the case of Prussia it would be Preußen.