Following your configuration this is what I did using QWP 5.6 and SP2010.
– on SiteA I create 2 lists, CountriesA (Title) and ContactsA (with a lookup field to CountriesA named Country)
– on SiteB I create 2 lists, CountriesB (Title) and ContactsB (with a lookup field to CountriesB named Country)
– on SiteC I create 2 lists, CountriesC (Title) and ContactsC (with a lookup field to CountriesC named Country)
– for each lists Country(A, B and C) I added CAN and US
In the qListView I display these 3 lists and in the search panel I can see both values CAN and US (remember they're common values to all 3 Countries lists).
Is my configuration similar with yours?
Also, please mention your QWP and SP version here.