What about Spotify ... or Audible?
Are they any easier to use on Alexa and do they care what country you're in?
The content right holders care a lot about geo-location. So distributors (Spotify, Audible, Amazon) do, too.
Your best bet is to decide on exactly one location and then tie everything to that location. This includes:
* transferring your Amazon digital content to the relevant store (there are options on your account page)
* assuming an identity that is in the right location
* entering appropriate address data into Alexa stationary devices
* tying the Internet connection to the intended location (using a VPN for Alexa)
I do not know the extent to which Amazon try preventing this massaging.