There are two "types" of Ranges. One is a "Global" Range setting which you enter from your scanner's keypad (or the Profile in Sentinel). This value is from 0 - 50.0.
The other type of Range applies to Systems/Sites/Departments that are found in the database.
If you have looked at the Location, Location, Location, you saw there are many circles which show Systems/Sites/Departments. When your scanner is inside of these circles, the scanner will turn on the Systems/Sites/Departments.
That Global Range is additive to those circles. That means if you set the Global Range to 50.0 miles, whenever you get within 50 miles of those circles, the Systems/Sites/Departments are turned on. It's a way of casting a wider scanning net.
Getting more to the point of your question. The scanner loading Systems/Sites/Departments. From the zip code you entered, the scanner will load the data for the state you are in. If you happen to be, as Upman noted, within 30 miles of an adjacent state, the data for that state is also loaded.
Here's the thing: Just because a whole state or adjacent states are loaded, it doesn't mean they are scanned. Only those Systems/Sites/Departments meeting range criteria are turned on. The rest of them remain in your scanner's memory, but in a turned off status. So being turned on is different from merely being loaded.