Sounds like you should be using the UDF tables for this. 

Have a read of the following in the help file,

Content Manager Help > Additional Fields > Additional Fields administration > Text Additional Fields

Hi Anupam 

It is not clear whether you are referring to Lookup sets already existing in CM, or these are currently external.
As far as I am aware , it is not possible without customisation to link one distinct CM lookup set to another.
However you can potentially achieve what you are trying to do with a hierarchical lookup set.

eg Create a lookup set  CSP_lookuo ( i.e. Country State Pincode) , and check "Items are hierarchical" and also "Only Apply at the lowest level" may be needed to enforce only the Pincode entries being used for the full selection.   Selecthe display style as Long Value Only  
Select Manage Items , and select New - New Top Level Item, and repeat for the Country entries
 Then select a Country Item, and then select New - New Lower Level Item, and repeat to add the States relating to the Country.
 Then select a State entry under the relevant Country and then select New - New Lower Level Item, and repeat to add the Pincodes relating to States.

Then create a an additional String eg CSP and in the validation entry select the lookup set CSP created above, 
You then need to add the field to your record type, and in the form properties you can set as mandatory and "always display full width"

You can also use a Text additional field as well. But strings are Text fields are different and have slightly different handling so worth testing out first.
I note that you opened a separate discussion about importing lookup values which I have responded on,  you can use DataPort to import hierarchical sets as well.