a relationship field returns an array of objects, that’s why there is an error. Since a location can only be in one town, one town per city, etc, you might be better off using a Post Object field, which will only allow one.
With a post object field the code I posted will work.
For a relationship field you’d need to loop through each array, or if you have these limited to only allow one item you could use something like
Location: <?php the_title(); ?><br />
Town: <?php echo $town[0]->post_title; ?><br />
County: <?php echo $county[0]->post_title; ?><br />
State: <?php echo $state[0]->post_title; ?><br />
