I live on Elephant road at Nilkhet in in INDIA.
Is the above sentence correct?

I live on Elephant Road in Nilkhet in India.

I do not see any reason to put “INDIA” in all capitals.

However, according to Wikipedia, Nilkhet is in Dhaka in Bangladesh, not in India.

Great name for a road!

Yes, its really a great name for road!

To be sure-
Is “at” wrong here?

Yes, it is
BrE - in
AmE - on.