I was thinking of Lawful dragons originally but this question could apply to extra planar creatures and even Paladins visiting from another country. It also applies to followers of gods who might obey a "higher law."
Whose laws do they follow?
Let's take a Dragon who flies into the Neutral kingdom of Adventureland from the Dragon Kingdom. In the Dragon Kingdom it is a law that any dragon can be challenged to personal combat and the loser forfeits his lair. Also slavery is illegal. In Adventureland dueling is illegal and slavery is legal.
A Lawful Good dragon might decide slavery is bad and free the slaves of someone in Adventureland, claiming that his act was lawful because 1) slavery is against the laws of Good. 2) he challenged and defeated the slave owner as legal by the laws of his home. 3) self defense as he was attacked by the slave owner for no reason, honest. 4) I'm a dragon what are you going to do about it?
Would he do that though, if roleplaying his alignment correctly?
Now a Lawful Good paladin from Adventureland visits the Dragon Kingdom. He challenges and wins against an evil dragon and takes his stuff under Dragon Law, including the illegal slaves the evil dragon was keeping.
Is that right for the paladin? He violated the dueling law of his homeland. He's now the owner of illegal slaves. Under the laws of his homeland he's now responsible for his slave's care and feeding and it isn't legal to free them if they can't support themselves. In the Dragon Kingdom he's obligated to kick them loose to fend for themselves.
Or what if the slavery law of Adventureland conflicts with the laws handed down from the paladin's goddess? What is "lawful" for him?
Is that paladin pretty much not allowed to live in Adventureland since he can't follow the law and his goddess's definition of Good at the same time?
Now what happens if the paladin is sent by his goddess on a Crusade to free the slaves of Adventureland? This being war, even if it is a one-man war against his former homeland, he's now under what, no law but his own? That paladin could get pretty Judge Dredd it seems. Judge. Jury. Executioner. And still be Lawful even though just him and his goddess define the Law.