Each NIC attached to a VM must exist in the same location and subscription as the VM. Each NIC must be connected to a VNet that exists in the same Azure location and subscription as the NIC. You can change the subnet a VM is connected to after it's created, but you cannot change the VNet.
Meaning that VM <--> VNET <---> NIC. All the three resources MUST be in the same location References:
https://docs.microsoft.com/en-us/azure/virtual-machines/network-
overview#:~:text=Each%20NIC%20attached%20to%20a,you%20cannot%20change%20the%20 VNet.