So here's the rub. As it goes against most sites' T&C's, you risk forfeiting any winnings. No point in playing if that can happen.
ALSO, when you register, your details are stored of course. But if you have access to a bank account in another country and an address as well, it is possible. But I would not recommend it.
Which site's are you considering, incidentally?
Cheers,
ObbleeXY