" This "Out of State" locality is no longer listed in Virginia"
VA defines tax residency based on (1) domicile and (2) place of abode maintained in the state for more than 183 days during a taxable year.  Instead of focusing on whether there is an "out of state" locality on the form, have you determined whether your client had indeed broken residency with VA and established domicile (which is different from abode) in the UK or elsewhere?

"I used to file just a federal return for stock transactions"
Is this a US person (e.g. US citizen, national, or green card holder)?  If so, worldwide income should be reportable for US tax purposes although certain certain income may be taxable at a reduced rate by means of various articles in the UK-US DTA.  Investment income is the least of your worries as there are often complications with UK pension plans (which may be subject to foreign trust reporting and PFIC tax regime) and there may be nonqualified deferred compensation (that could have 409A implications).