So, ironically, I just moved to Singapore from the US last year. I think if it wasn't for my wife-to-be who is Singaporean, I'd be pretty lonely here too. I think the point I should have made isn't just "move" but rather "move to a place where you'll feel more comfortable." Of course, you have to be lucky enough to land in a spot that works, and most people can't move every few months once they've decided X place isn't working for them.
Another example of converse: I was happy in high school (that mission school in palau), but moving to the university in TN absolutely stiffled me for those five or so years. I guess another way to phrase my point is "place does matter," and don't discount external factors for being the reason you are lonely. We in America often attribute a lot to internal factors such as attitude, outlook, mindset, etc. And, yes, internal factors are important. However, life really is a balance of external and internal factors, you need to optimize both to the extent you can. I feel like self-help talks and media emphasize internal focus because that is (supposedly) the thing you do have control over. That said, if you can get a "ticket out of town," even to just visit a new place, don't discount what it could do for your internal issues like loneliness.