you would need to create another form element to allow them to enter a region name that is not list.
you could add another option to the state select list for other:
<option value="other">Other</option>
and a new text field for the "Other shipping state:
<input type="text" name="otherShippingState" id="otherShippingState" value="" />
then add code on the confirm page to set the shipping_state_province form element to use the otherShippingState value if the Other was selected and a value was entered in the text box:
<?php
if(isset($_POST['shipping_state_province']) && $_POST['shipping_state_province'] == "other" && isset($_POST['otherShippingState']) && $_POST['otherShippingState'] != "") {
$_POST['shipping_state_province'] = $_POST['otherShippingState'];
}
?>