You haven't told us explicitly whether he has paid, but it sounds as though he probably has. If so, the opportunity to cancel for non-payment, which would have solved the problem instantly, will no longer be available to you.
You could try reassuring him that he won't get a strike if he asks to cancel as he feels that he overpaid for the item. If he refuses, you can't cancel because you don't deliver to the buyer's country as you offer delivery within the EU.
Otherwise you have the grisly choice of proceeding with the sale - with a good chance that he may pull some stunt as you say, or cancelling it with the near certainty of getting negative feedback. Worse, you will receive an account defect from eBay unless you can claim some difficulty with his address, which is about the only reason eBay will accept as valid.
Good luck, and don't forget to add him to your blocked bidders list.
