eBay transaction causes bank alert "Credit Card Transaction outside the 50 states"

[tpro]

Why does the charge for a purchase from an eBay merchant (who is in Hong Kong, in this example) cause my bank to send me this alert?  

"Credit Card Transaction outside the 50 states"

The actual credit card transaction is between Paypal and me (both located in US), isn't it?

Paypal is supposed to shield me from the merchant knowing about my card.

Yes, the merchant has to know my name/address, and that the payment was approved, but that should be all that they know about me.

Explanation?