I might be weirdly old fashioned, but I'd think just responding to whoever said that would be the trick. 'oh, heya kevin. I don't really know where az is; could you expand on that?'
I'd guess that kevin likely thinks you're in the US (which isn't a terribly wild assumption. not always correct, but it's not like he's assuming you're 3 raccoons hiding in a coat) and just figures you know the common state abbreviations.
do you know what NYC typically stands for? is it really such a stretch to get to what NY often means from that? if someone said they're from LA would you be as confused?
