None of those. That is a peculiar English usage, often even with well-known cities (such as “Washington, D.C.”).
In Italian, it is far less common having to specify the country a city is in: for instance, if I mention Berlin, I'll just say/write “Berlino”, assuming that my listeners/readers know that it is in Germany.
If it is important to mention the country (or US State, or Italian region), for instance for a less-known place, the usual way is to use in, possibly after a comma. For instance:
Legoland si trova a Billund, in Danimarca
(Legoland is in Billund, Denmark).
In some cases, in a less “literary” context, you might find the country name (if necessary), in parentheses:
Legoland si trova a Billund (Danimarca).