Please do not let this potential scammer bully you into breaking the rules for them, you are doing the right thing in requesting that they either change the address on Paypal first to one where you will have seller protection. Having no business is still better than whatever potential headache you could end up losing should they claim an INR.
I actually had this exact situation this week (luckily with a very nice buyer) where they paid me and then needed to change their shipping address from their home to their work. In order to do so and also remain in keeping with Paypals requirements for seller protection, I needed to send her another invoice so she could switch to the second address which was her work address. However at first when I resent the invoice the order total kept coming up as double the amount, Ebay said it was because she paid already (even though I refunded her right away on Paypal) so I needed to send her a Cancel Transaction request (to get my seller fees back) and then just to relist and have her bid again (basically redo the sale).
I've also sold to many buyers who use their work addresses, many people keep busy work hours, anything over $250 is required to have signature confirmation (which can be a hassle because not everyone will have the time to be at home to sign for it) so naturally things get delivered to the workplace, it is *very* common.
I also have two addresses (I go to college in a different state, I'm home on summer breaks) on my Paypal and Ebay that I switch between all the time.