What should I do?

From a win? Contact the creator of the giveaway and if they don't deliver within 7 days then mark the giveaway as not received.

Leave a message to that effect in the giveaway itself, so the giveaway creator has the opportunity to rectify the situation.

this may help. it's from the SG FAQ, while it may just be about the activation and not due to region it sounds it would fit under these guidelines. hope it helps.

What should I do If I win a game that cannot be activated in my region, or if I receive a gift or key that does not match the game I won?
You should contact the giveaway creator to return the gift, and to inform them of the situation. If the giveaway creator is able to provide you with a replacement gift or key for the same game that can be activated in your region, then you should mark the gift as "Received". In all other cases, the gift should be marked as "Not Received". When marking a gift as "Not Received" it's recommended that you leave an explanation in the giveaway comments as a reference for both the giveaway creator and our support team. If the giveaway creator is not able to provide a replacement gift or key, they may ask your permission to delete the giveaway.

• Notify the giveaway creator by posting a comment on the giveaway. Maybe they have a spare key or can get another, or maybe they just copied the key incorrectly.
• If you do not get the key within 7 days, you can mark it as not received if you want. You can also give the giveaway creator more time if you want to if they are trying to get a key. You don't have to mark it received or not received right away. You can switch a not received feedback to received at a later time if you need to.
• If the giveaway creator acts like a jerk or has a lot of rule violations or other not received games in the past, you can choose to leave the not received on their account for others to see.
• If the giveaway creator seems like a decent person and the bad key was a mistake, you can agree to delete the giveaway and it will be like it never existed. The giveaway creator can't delete the giveaway unless you agree.

Tell the giveaway creator that it's a duplicate. If they don't respond in 7 days then mark as not received and take the loss.

I've accidentally sent a lot of used keys so theres a good chance they can fix the situation or they made a mistake. Hope it works out for you!

Leave a message about this in the giveaway description of the game you won, If the giveaway creator doesn't respond within 7 days, mark as not received.

Yeah, it happened to me on one of my very first giveaways here, when I was totally unexperienced and I wasn't managing well my own keys.
So it happened that in a rush I gave an already used key to the winner of one of my giveaways, and he wrote on the giveaway page that he tried to activate the key but Steam said it had already been activated..
So I managed quickly to remove the wrong key and put the brand new one, replied to him excusing myself for the error and it never happened again! He marked as received (there are 7 days of time for the winner so you can't mark not received something in the first week) and everything went well!
If the giveaway creator doesn't answer, you are pretty much forced to mark the game as not received, since obviously no one is able to know whether the creator had really a key for the game or not or whatever else, if he made a fake giveaway.. so if he does not answer he will get a permanent "not received" mark.
Fortunately this barely never happens here! =)