Villa in Italian does not mean "Country" home. It's just a home. It's a term often used to identify larger than average homes, or more luxurious ones, while small ones may be called "Villetta". Villas can be anywhere including big cities, not only country.
Why? It's a 20-question quiz. There are 44 countries in Europe. How much over-representation of the UK would be adequate? Plus I'm quite sure if there was a question on here about a US state the whining would be deafening.
Castile and León has no capital. Valladolid is just the seat of several of the most important govern institutions but is not the capital, as is not listed as that in the "Estatuto de autonomía"
https://en.wikipedia.org/wiki/Villa
Could you not even stretch to something like 'US state named for Elizabeth I'?