You Need to Take out ZONE from Detail
For your Dimensions (either Label-Zone or Detail-Zone) ensure that one of them is unselected for Detail. So you should see (either one of them but not both) one having the ellipses to the left side ... Thx, Don
Both the above answers answers your question, just adding a screenshot so to be clear.
Your visualisation is currently looking like this.
Where zipcodes is added to detail as well in place of my state value.
Here state is a lower granularity than country, so tableau tries to show labels on the least level possible. Since, I am using country in the label , tableau looks up the country associated with the least granularity(i.e each state) and applies the label to all the states and this comes up to be United States all over.
Hope this helps.