In most cases, you have to leave your Family Sharing group in order to change regions:
Change your Apple Account country or region - Apple Support
Other features will not work when in a different region, such as Purchase Sharing:
Note: To share purchases, family members must be in the same Apple Account country or region. If a family member changes their Apple Account country or region, that person might lose access to other family members’ purchases, and installed apps that were shared from other family members might not work.
Not sure if you are using Purchase Sharing or not, but I suspect you are running into the same problem since the App Stores in each region are different. You can contact Apple directly for confirmation here:
Contact Apple Support - Apple Support