I have tried printing a UPS shipping label for an order going to Canary Islands and am seeing an error returned:
121449: The Sold To party's country code must be the same as the Ship To party's country code with the exception of Canada and satellite countries."
The error occurs mainly for shipments to Canary Islands when both Shipping country and Billing country are set as 'Canary Islands' (or if Billing address is marked to be 'Same as shipping')
Due to UPS API specifics, the courier does not accept Canary Islands for Billing address, and in order to resolve the error, you need to leave the Shipping address country as 'Canary Islands' and set country as Spain for the Billing address.
This can be amended by right clicking on the order > Actions > Edit Order > Billing Address > Change country to Spain