When you create an Azure Virtual Machine, there are two services that work in tandem to create this machine: Compute and Storage.
When creating a Virtual Machine, we require that the VHD be located in a storage account in the same region where you are creating the VM
The steps to migrate the virtual machine from one region to another:
Stop the Virtual Machine
Copy the VHD blob from a storage account in the source region to a storage account in the destination region.
Create an Azure Disk from the blob
Boot the Virtual Machine from the Disk
To learn about more: