Hi,
The only thing I can think of would be that this person had his javascript turned off in his browser with the "New Hampsire" state selected and the other country from that state selected and then he changed the country to the UK. Since the javascript was disabled, the state dropdown was not refreshed and he was able to enter his address with a state outside of the country.
HikaShop doesn't have any check on that server-side so that's why it went through.
Then, in your shipping methods, you use the country for the zone restrictions and since his address is in the UK, the domestic shipping method was rightfully selected.
But even if the state would have been refreshed and that his state would be the default one of the UK, he would still have paid for domestic shipping while his address would still have been incorrect. So it doesn't change much.
The only solution to avoid that would be to have an integration with an address checking system but it's not ideal either. Most of them don't work worldwide or can be quite expensive for what they do.