Greetings!
Currently the scenario you have described above is not supported. Only VMs in the same region and subscription as that of the vault will be available to configure backup. Reference - https://learn.microsoft.com/en-us/azure/backup/backup-azure-arm-vms-prepare
You may want to share this valuable feature request at our UserVoice forum with briefly describing your business requirement to this feature enhancement to Azure Backup product.
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