Roku does offer a place in the settings menu to enter your zip code. I can't say for certain that will change the behavior you are seeing. The reason is, many providers use your IP address to determine your location. If your ISP is making your public connection somewhere other than where you live, you might still get ads based on the public connection location.
I can provide an example. My employer (the US Govmt) has an international private network for all our computers. This means I can reach a server in Guam, Alaska, Florida or Maine without needing to go through the public Internet. All our Internet access goes through a single public connection in Oklahoma City. All the public web pages think I'm in OKC, so I see tons of ads for that location, even though I'm in the Seattle area.
Dan
Roku Community Streaming Expert
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