This is happening because your VPN provider only has a virtual server in your state. Very common for providers to do that if the state has the legal power to just seize and search physical severs. Or legally requires server operators to install spyware, logging software,etc. It's how they give their (limited) guarantee of privacy but still offer a gateway that will at least fool a streaming service for instance.

Switzerland has the world best privacy laws, so VPN providers based there are your first step to a reasonably private VPN.