Hi,
If you have just one country published, you have to re-save the default value of your "country" zone custom field.
I think that the default value is another country but, because there is just one country published, your single country would be selected.
But the state zone read the default value and load his states. Because the default value is unpublished, it's not possible to load his states, so you have an empty field.
So, you just have to edit the "country" field, and click on save.
We would made a patch in order to add some checks for the state field.
Regards,