It can happen within countries too. Most UK websites will require you to enter a "county". That's fine in England, because England is divided in to lots of counties (e.g. Essex, Hertfordshire, Oxfordshire etc.). However, Scotland does not have counties any more. They were abolished before I was even born and replaced with regions. It might sound nit-picking, but it's one of these things that adds to the chip on our s…
The Royal Mail are happy for old curmudgeons and the like to use traditional counties in addresses, if they wish: http://www.abcounties.co.uk/bpa/bpacontents.htm
All that Royal Mail cares about is your house number and postcode, so you could probably even get away with telling websites that you live in Wibbleton in Foobarshire.