You can add zones from many countries. This allows you to create a set for a specific area or region for shipping. E.g. India is divided into parts of the states. States are called zones here
I think you now understand about zones. If you are still confused, take a look through the screenshot
Geo Zone Name: Add your Geo location name
Description: Give the short description of geo zone.
Click the + button to add a new geo zone.
Country: Choose the zone country.
Zone: You can select the zone of the selected country.
Congratulations !!! Now your store zone and geo zone is enabled and you can use this in shipping/tax calculation to your store, which will help your customers make informed decisions before they make a purchase.