Romania user here.
Same problem with the rest of second class E(astern Europe)U . Bought game through normal Steam, without any kind of notification about regional limitations (and i never ever heard about Cenega) . Now i'm unable to acquire the DLC though Steam.
When i get home from work, I plan to use Direct2Drive (EU) version, as it mentions that it is compatible with my country.
Ohh nice find

Here is a link to D2D: http://www.direct2drive.co.uk/2/10395/product/Buy-Fallout-New-Vegas-%E2%80%93-Dead-Money-DLC-Download?hph
It says "This product is only available for purchase in Albania, Andorra, Austria, Belarus, Belgium, Bosnia and Herzegovina, Bulgaria, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Holy See, Hungary, Iceland, Italy, Latvia, Liechtenstein, Lithuania, The Former Yugoslav Republic of Macedonia, Malta, Republic of Moldova, Monaco, Netherlands, Norway, Poland, Portugal, Romania, Russian Federation, San Marino, Serbia and Montenegro, Slovakia, Slovenia, Spain, Sweden, Switzerland, Turkey, Ukraine, and the United Kingdom. This product requires the Fallout New Vegas base product installed to play. This product is not eligible for refunds."
So after all this means we can get that DLC? Any confirmations from users in Eastern Europe ? I don't want to spend money on it and then it won't work becouse its not refundable.