Is it illegal to own a domain that has a state or county name in it? (for instance, if you purchased california.org or something to that effect?)
Unless you reside in same country NewZealand govt lost the case for newzealand.com and had to pay in millions to buy it.
In the UK there are some protected words when it comes to company names - some are simple such as to have Scotland in the name you must be based in Scotland where as others such as Royal require special permission. Domain names are clearly a lot less regulated compared to company names but if trading in a country which has protected words you may want to check that you arent going to have issues.