I believe this issue has returned as I have been getting the error
not only Costa Rica but also El Salvador, Kuwait, Philippines, UK, South Africa (Gauteng), Uruguay, and Venezuela. All of them don’t have at least one province associated with them.
I was able to resolve this problem with Shopify’s support. The short answer is: try using a different browser.
While chatting with the agent, I found out that if I try to edit the shipping zone from Mozilla Firefox I do not see the five individual countries in UK, only one entry “United Kingdom”. But when I switched to Google Chrome, I discovered that now United Kingdom has five provinces: British Forces, England, Northern Ireland, Scotland, and Wales. I could select all of them and this fixed the problem.