Honestly, are you joking? Cyprus is one of the 'tax havens' of the EU and many Europeans companies are incorporated there for tax purposes. It is not a 'high fraud area'.
Well I can't speak as to actual figures on fraud but in the past my card had been put on hold twice for attempting to make a purchase from GOG and now they've simply blocked the entire country listing a high rate of fraudulent charges as the reason. It's entirely possible my bank is simply using fraud as an excuse for any number of things or the customers of my bank happen to deal frequently with people that result in fraudulent charges based out of Cyprus.
The reason doesn't really matter nor does the reality behind whether or not Cyprus has issues with fraud (which honestly if it's a tax dodge country I could buy that fraud is involved in there somewhere as well.) All that matters in the end is that Cyprus has been blacklisted as a whole and my bank won't let me greenlight purchases from GOG. =[
Tax evasion and tax avoidance are two different things. I suggest that you and your bank look them up.
Basically, some countries have lower taxes than others, hence why companies incorporate themselves there. It's called tax avoidance and it's 100% legal. It has nothing to do with fraud or tax evasion.
Anyway, I don't mean to be a condescending twat, so just tell your bank to clear the purchase and get on with it. I think some GOG yank users have had similar problems in the past and they've solved them by contacting their banks.