Julie here from Shopify Support.
Generally, if customers are seeing a message stating that their order cannot be shipped to their location, this would indicate that there is no shipping zone available for their country. To confirm whether this is the case, you'll just need to head into Settings > Shipping > Manage rates, where you'll see your shipping zones. If you don't see your customer's shipping country there, then you'll need to add it by selecting Create shipping zone.
If you already have a shipping zone for that country, then you'll just need to ensure that the state or province your customer is using is selected. For example, if your customer is from the United States, you can select Edit zone beside the United States shipping zone. You'll then see a list of countries. If you navigate to United States, you'll be able to see all the states listed; just ensure that your customer's state is checked off.
I hope this helps lead you in the right direction! If you are still having the same issue, then feel free to share a screenshot of your shipping zones, along with the location your customer is trying to ship to. I'd be happy to offer further assistance!