en, dans le or au for states, regions and counties

In the section where you explain about the difference between using en or dans le for states, regions and counties. You say that en is feminine and dans le is masculine. You give some examples of where to use au instead: au texas, au nouveau Mexique, au Québec. But I have had two questions in a row where I was asked what to put for Merseyside and Sussex. Going by the information you provided I put dans le (as they are masculine). I was marked wrong and told the answer was au. Could you please provide the examples of the English counties that use au instead of dans le. Thank you.