After much meditation upon the CPAN code I solved my own problem. I'll record the answer here in case anybody should ever have the same problem and find this node seeking the solution. My local mirrors database was empty/corrupt. I ran through the config again, and when asked 'Shall I use the local database in ..mumble../.cpan/sources/MIRRORED.BY' I answered no. Then all was well.

Of course I CPAN still uses the pick a number interface. Maybe someday I should try to alter the CPAN module so that it can also accept text answers to the continent and country questions, and avoid confusing newbies like myself :)