Your app could be slightly but meaningfully faster (depending on your use case) if the other servers/services your app relies on are close by (also on Azure, in the same region region or datacenter). Otherwise probably not much more speed difference aside. There are other benefits such as managing everything in the same cloud, single billing, and maybe even some security benefits of having everything in the same VPC. This is assuming Azure will allow you to chose a region for the GPT4 service.