I am trying to prepare a layout for my study area by method showing country to state to city in ArcGIS Pro, but all the data frames are showing the same area and when I try to change the data, the data in all the data frames is getting changed. How do I add different data frames in a single layout in ArcGIS Pro.
You are mixing an ArcMap terminology and concept of data franes with the ArcGIS Pro terminology and concept of map frames.
Think of a map frame being like a window onto a map. If one map frame is to show different layers to another then it needs to be linked to a different map.
If you want the same layers in each map frame, but just a different extent for each, then use the Contents pane to Activate each map frame in turn and your zoom/pan (Explore) tools to set the extent you want, before closing the activation.