The original New South Wales included New Zealand, I read somewhere. Until 1851, Victoria was the "Port Phillip District" of NSW. BDMs went on the NSW listing, so did the shipping indexes. Courts were held in Melbourne by circuit judges from NSW.
I approach this question in the same way that Wikitree deals with Ireland: use the official designation at the time of the event. "Northern Ireland" is not just a geographical description; it is the recognized, official name for Ulster, between certain dates.
P.S. and BTW: The border between Victoria and NSW is the high-water mark on the Victorian side of the Murray River. So held by the High Court in a case where it mattered. If the land below the high-water mark is exposed, that land is in NSW. To go boating or fishing in the Murray, Victorians need NSW licences. The usual legal rule, showing in some maps of the American Great Lakes, is that the borderline is half-way between the banks.