Dorian,

You must have been dealing with the airline directly. Using travel agencies avoids you such problems as they, to the best of my knowledge always ship to wherever you want.
If you still prefer to deal with the airline then there is a way to get the tickets even though you want them in another country. Simply use a friend's address in the country where you are buying the ticket from or if you don't have a friend there then a mail forwarding service will suffice just as well.
Mail forwarder will charge you maybe $50 (for a month or $3 per letter) which is nothing in comparison to the savings you make by purchasing a ticket where you want.