You don't have to click every city in the country, unless you've explicitly set it not to group results. With the results set to "Direct Results", you should see a "Group by" dropdown above the links. By default it is set to 'Area', which will combine around 20 cities into each link. It sounds like you've changed it to group by 'City'. We certainly don't recommend that if you're searching the whole country.
Using the group by area setting though, you can open everything by clicking a single "Open All" button, and then view results for the whole country, straight from the source, by flipping through approximately 20 tabs. That is of course slower than if they were all on one page (like our Single List results option), but the advantage is that you get results straight from the source, so none are missing or out of date. To display results all on one page, we have to rely on search engines like Google and Bing, which miss a lot of matching results.