Before you have configured any zones, your store already has one zone - the one named ”All Addresses (default zone)”. This zone is built in and cannot be deleted. The presence of the ”All Addresses” zone in your store ensures that a customer’s zone can be determined even if the customer’s address does not match any of the zones you have set up. 

The first time you choose to view the details of the “All Addresses” zone, this zone will look empty, though in fact it is not: by default, this zone includes all the addresses in the world. It does not have to remain that way: the “All Addresses” zone only needs to include regions to which you will market your products; if you do not intend to sell literally to anyone from any country in the world, you should edit this zone to narrow it down just to the regions or territories corresponding to the area you will serve. For instance, if you add “Germany” to the ”All Addresses” zone, this zone will be applied only to addresses in Germany.

For more info on the zones set-up please refer to Setting up destination (address) zones