If you use whois privacy, there is no reason that the gov could know you're in the US. I'm based out of the US but some of my poker domains have a US mailing address and I've never had a problem.
Unless it is a typo in which case you want to hide your identity from lawyers. I learned this the hard way and had to turn over 23 very nice typos for a specific site years ago. They sent me a few nasty c&ds and I didn't want to deal with legal action (also there was no way I could lie that they weren't typos).