Hi,
There is no option for that. The address of an order cannot be changed by the user once the order is created.
This would often be a problem when shipping costs depend on the address of the customer, or even taxes. Allowing the user to change it while the order would already be paid could led to issues in that regard.
However, with the "contact button" column of the System>Order statuses menu, you can add a contact button to the order so that the customer can contact you and request an address change.