I have no first hand experience, however I can tell you that:
- Having alts is a widespread practice (too often abused)
- Generally speaking, there is no problem in having multiple accounts on the same machine
- Most likely you won’t be able to transfer games between the two accounts (e.g. gifts, trading)
Of course, the crux of the problem is whether Valve would consider the second account as a circumvention of regional pricing.
I think that may boil down to whether you are a resident of the second country, too, and what a payment instrument you would be using. If using the same as your primary account, that could trigger checks.
If the second account is registered to someone who resides in the second country and has a local payment method attached to it, I would imagine it would matter naught if the second account lived on your machine.
If in doubt, I would consult with Steam support directly, I’ve always received quick and punctual answers from them.