Like I said, it sounds phishy. But at the same time Jeff does offer a valid point, 2 minutes on google confirmed that paypal does do this kind of thing, as well as something else I didn't think about.
Imagine how much info is in paypals servers and how much could be intercepted when hopping multiple IPs [even more so than your usual shuffle due to ISP].
Let's say you were in china, and now you're here, soon headed to Mexico. I would think that this kind of access would have flagged something in the security system as well.
I'd say if you're unsure about it, call them instead of hoping you didn't just get scooped up in the phish net online.