Hi,
The coupon zone restriction is checked on the address of the customer using the address_state field (and if missing the address_country field).
So if you select Alabama as state in your USA address, and that your coupon is limited to the USA country zone, you'll be able to use the coupon code in the checkout. And the same with any other state of the USA. But you won't be able to use the coupon code if your address is outside the USA.
If you create other custom fields of the type "zone" they won't be taken into account.