I'm in Australia and they used to block me when trying to download region-restricted videos using rtmpdump. Although I guess that was from a different IP address, and I think the block was in the XML files that had to be looked up to find the relevent "key".
The odd thing is that I get the "The source you requested could not be found." page as well when I try the above URL. It's a HTML page (well, being treated as one anyway, as it's pretty invalid), so it's being sent the same way as the MP3 stream should be. I guess it's possible that the region restrictions only apply to certain streams, so the blocking happens at the stream level, rather than by blocking connections to the server entirely. It seems out of character to block the USA but allow everyone else though, unless it's just a mistake/lazyness.
As for the cookie/login issue: I haven't got any sort of BBC log-in, and I didn't visit the BBC website before trying the stream with mpg321. I've never tried to listen to a BBC Radio stream in a web browser at all, in fact.