One country can be in only one zone so you can have the following:
You will have to pick out those exceptions and place them in separate zones and then apply proper costs from the carrier menu. It's the same when you have different countries in one zone but some of them are in EU and the rest are outside. The ones in EU must have VAT included and the rest should have not VAT on their service. Let's say they are in Zone 5 - just make "Zone 5 EU" (which include VAT) and then make "Zone 5 rest" (which does not show 'incl. VAT' label)