The most obvious issue that springs to mind is the difference in voltage supplied from country to country. In the US it's 110V, elsewhere it's usually 220V or 240V. So I suppose replacing every electrical appliance inside, or outside, the US isn't a "technical" limitation, but it's certainly a limitation of some kind.
That aside there are losses when electricity is "moved" - they further you move it the more you lose. (that's a simplification, but it'll do.)
Politically of course, there are limitations as well. Assuming the grid was mostly on land, each country becomes vulnerable to another country cutting it off. I'm not sure that the US for example would want to be dependent on Canada, or Russia, and I suspect the rest of South America may not like being vulnerable to Panama, and so on.
Most of the generation would probably occur in desert regions, and I'm thinking that's already a problem with an oil based economy.