I can think of creating duplicated countries and this might work. I saw a Malaysian website (using prestashop as well) who might ran out of idea how to solve this and he created 3 Malaysia countries like in the screenshot. So, I think he assign states in Zone 1 to country Malaysia Peninsular, Sabah State into Malaysia Sabah, and Sarawak State into Malaysia Sarawak.
Screenshot (the website is jelitasara.com):
I think this is a bad idea because a country shouldn't be divided like that and a country must have standard and specific ISO CODE. So using Zone is a must but that doesn't work.
Anyone have suggestion or any module that can fix this problem ?
Edit: seems like this feature is not available and someone suggest to use a module instead. https://github.com/PrestaShop/PrestaShop/issues/11662