"which" generally suggests a limited choice of options. For example, you say, "My hand is beginning to hurt" and your friend asks you "which hand" (because you have only 2 of them).
Brazil is a huge country. Although I don't know its administrative division I think that 'what' is a better choice. Again, 'which' implies a quite limited choice, like between 2, 3 things, or slightly more, perhaps.