WooCommerce shipping zones allow you to configure which delivery methods are available for which geographical area.

You can find the shipping zones configuration in your Wordpress backoffice, WooCommerce > Settings > Shipping > Shipping zones.

Note that the selection of the zone according to the delivery address will be done in an order of priority from top to bottom. You must therefore position your zones from the smallest to the largest (eg Corsica, then France, then Europe).