I've had this one pulled on me before, seeing as I live in Thailand but hold all American credit cards and use an American mailing address sometimes...
This is a bit of a pain in the butt. The casinos really do need to protect themselves against potentially fraudulent transactions. That having been said, though, there are also quite a few people who will gamble on their computer even when they are travelling on business, including me. Isn't that the point of "online" gambling?
If I were forced to play only from my home address, I might not bother.
The easiest way to solve this problem is to send them some ID to prove that you are the person in question and that you live at that address. Once you've been there a while, they certainly won't ask you that question again. But then again, I have a bit of an advantage, seeing as I know many of the casino managers
One group whose name I will not mention (but is one of the largest on the Net, and supposedly reputable) not only actually tried to refuse the bonus, they also tried to refuse paying back my deposit. I told them they couldn't have it both ways. Either give me my bonus or refund my deposit.
A phone call did not solve this problem. A warning on my website fixed things very quickly.
The issue then crept up again at another of their casinos a year later - with the exact same person trying to refuse my bonus. By this time, not only is the website well established, the person actually knew who I was since some of his colleagues had already met me, and of course he remembered the previous incident - but yet again, tried to refuse the bonus, and didn't want to refund the deposit.
Needless to say, this one was eventually resolved as well in much the same manner.
Another year and a half later, it happens AGAIN at a third casino in the group. This time, however, the account was flagged by support staff, and after an exchange of words, the matter was referred to the supervisor (who had handled the first two cases).
He said to me "You ought to know how things work by now - just let me know and I'll take care of it"
And he did, on the spot, no more hassles. I guess two strikes was enough.
In short - if you are not granted your bonus, the very least they can do is refund the deposit, whether you played or not, unless of course they explicitly state on their site somewhere that you (or someone in your situation or location) do not qualify for the bonus.