1. At your Store manager, go to Settings > Taxes & Invoices and select to Manage Tax Rates manually.
2. Click Add New Tax > Manage zones (global). Click leave this page. You will be taken to the Destination Zones page.
3. Click Add New Zone and name it (e.g. Italy).
4. Click Add Country and select your desired one (e.g. Italy).
5. If needed, specify by clicking Add State and select the preferred regions. You can find it easier using a filter (e.g. Italy).
Repeat for all destination zones you want to add.
After that, go back to the manual taxes, and click Specify rates per zone.
Select the zone from the dropdown menu, set the tax rate and click Add Rate.