I wonder if you could set the time zone on the NSCalendar object that you use to create the NSDate from the NSDateComponents. I haven't tried this and don't know if it'll work, but it's probably worth a try.
NDates have no concept of time zones in and of themselves. They're basically seconds since a certain arbitrary date at GMT. As such, you can't give them a time zone. If time zone is important, you'll need to track both the time and the time zone.