How do shipping zones work?

A zone is a name plus the countries it covers, and you define them: there is no fixed list to bend your rate card around. Each parcel resolves to the first zone that lists its destination, and that zone's weight brackets price it.

Assigning a country to a zone removes it from whichever zone had it before, because a destination can only be in one zone. That mutual exclusivity is what keeps the resolution unambiguous when a rate card has a dozen zones in it.