Ideally, we'd have multiple lists, sorted by all those factors, but that's biting off a lot for now, so I'd say in the meantime
I think the most functional use is to divide them by Historical Era, as the time and setting of the campaign determines who's likely to show up, anyway. Geography is a secondary concern.
I mean, yes, I can imagine (and would enjoy playing in) a game where any famous British person is a valid character, but it's much more likely that I'd set a campaign in Medieval, Victorian, or Modern England.
Likewise, a campaign set in Ancient Rome would mostly focus on Romans, but other historical figures of the Ancient World might pop up without it feeling like a stretch. Whereas very few games would be set in a timeless version of Rome and feature Julius Caesar, Michelangelo, Musolini, and a cavalcade of Popes.