What it’s asking is: if your visa was refused and you had to leave the UK, is there any other country in which you could live together, either because you already have the right to live in that country or you could get visas for that country.... or is the U.K. the only country you could live safely in, without fear for your life?
So, really, you would only answer no if your life would be in danger if you returned to the US (I.e. because of war, famine, terrorism or natural disasters) or if your spouse were not legally allowed to enter the US (due to health conditions or criminal convictions that made him ineligible for a visa), and there was no other possible country you could get visas for.
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