Create zone

Zones can be used to club together regions & countries having similar taxation or shipping requirements. This way you can define shipping & taxation profiles for them in one go.
For example, You may want to charge 5% Tax to customers from the UK and 10% Tax to customers from the US. So you should create one zone for the UK and another for the US.
* Make sure that you create mutually exclusive zones.

Create and configure Zone

Once you save the zone, the form will extend to let you add countries & regions to the same.

Add Countries and Regions/States