Process of adding of cities, regions and countries needs to be simplified. Import SQL file with easy structure.

Osclass already support importing data via sql, structure is based on table structure

I get error when I add "s_name_native".

You have it in data?
You will need to provide much more details than you did...

REPLACE INTO /*TABLE_PREFIX*/t_country (pk_c_code, s_name, s_name_native, s_slug, s_phone_code, s_currency) VALUES
('UA', 'Ukraine', 'Україна', 'ukraine', '380', 'UAH');

REPLACE INTO /*TABLE_PREFIX*/t_region (pk_i_id, fk_c_country_code, s_name, s_name_native, b_active, s_slug) VALUES
(3686966, 'UA', 'Zhytomyr Obl.', 'Житомирська обл.', 1, 'zhytomyr-obl'),

REPLACE INTO /*TABLE_PREFIX*/t_city (pk_i_id, fk_i_region_id, fk_c_country_code, s_name, s_name_native, b_active, s_slug, d_coord_lat, d_coord_long) VALUES
(3686967, 3686966, 'UA', 'Zhytomyr', 'Житомир', 1, 'zhytomyr', 50.26487, 28.67669),

Osclass understand s_name_native in t_country, but not in t_region and t_city.

Then you probably do not have it in table definitions.

Please, fix this. Also when I upload SQL file all listings are deleting. Can you make listings to stay?

Fix what?
In osclass struct.sql it exists, fix it on your installation.

I have tried 2 times, it gives an error. And deletes all listings.

Check your database structure - items, regions, cities - and make sure it match to struct.sql