I've created a simple module to install the Nigeria regions.
The list of regions was copied from Wikipedia:
And now you can get the module from Github: https://github.com/barbanet/magento2-nigeriaregions
Or you can install it using Composer: https://packagist.org/packages/barbanet/magento2-nigeriaregions
Maybe this won't work for your current project but for others in the future.
@Damian Culotta, thanks a lot for your time and input.
I've solved the problem by creating the necessary CSV files and importing them into the database and after that, import the tablerates.csv into the Magento admin panel.