Set the default country to United Kingdom/Great Britain using the GB abbreviation. States will be from the GB list. Rename State with a gettext filter.

pmpro-set-default-country.php

<?php
/** 
 * [gettext_pmpro_checkout_city_state_postcode description]
 *
 * @param  [type] $translated_text [description]
 * @param  [type] $original_text   [description]
 * @param  [type] $domain          [description]
 *
 * @return [type]                  [description]
 */
function gettext_pmpro_checkout_city_state_postcode( $translated_text, $original_text, $domain ) {
	if ( $domain == 'pmpro' || $domain == 'paid-memberships-pro' ) {
		if ( $translated_text == 'City, State Zip' ) {
			$translated_text = 'City, County, Post Code';
		}

		if ( $translated_text == 'State' ) {
			$translated_text = 'County';
		}

		if ( $translated_text == 'Zip' || $translated_text == 'Zipcode' ) {
			$translated_text = 'Post Code';
		}
	}

	return $translated_text;
}
add_filter( 'gettext', 'gettext_pmpro_checkout_city_state_postcode', 10, 3 );
/** 
 * [filter_pmpro_default_country description]
 *
 * @param  [type] $default_country [description]
 *
 * @return [type]                  [description]
 */
function filter_pmpro_default_country( $default_country ) {
	$default_country = 'GB';
	return $default_country;
};
add_filter( 'pmpro_default_country', 'filter_pmpro_default_country', 10, 2 );