Look here.
Basically you have to do bind params:
$sql = "SELECT username FROM users WHERE locationid IN (SELECT locationid FROM locations WHERE countryid=?)";
$this->db->query($sql, '__COUNTRY_NAME__');
But, like Mr.E said, use joins:
$sql = "select username from users inner join locations on users.locationid = locations.locationid where countryid = ?";
$this->db->query($sql, '__COUNTRY_NAME__');