While this is definitely valuable info, it's not necessarily related to 'another country'. Myself I use quite often a proxy to connect to wow, through machines I own and that are abroad. Sometimes I use my own IP, sometimes I use the remote machines IP. Depending on which comp, location, etc I log on from. I never had an issue like you. However those proxies are in 'stealth' mode (both the ssh tunnel & squid). Which means that they are not being recognized as a proxy.

In human language this might mean that:
- the IP linked to the country you are logging in from might be flagged as suspicious (due to gold sellers or hack incidents originating there for example)
- the IP you connect from might be recognized as a proxy (i.e. the hotel network is using a proxy, which is not uncommon), and thus being flagged as suspicious (if i were to do illegal activities on wow i would use those kind of networks to hide my own identity)
- the 'other' country theory is valid but the algorithm is such that it recognizes my behavior as 'normal' for my accounts and yours 'not normal'

Either way this seems to be a very decent feature that makes lots of sense to me.